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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
+2.76%
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
$55.6B
AUM Growth
-$1.54B
(-2.7%)
Cap. Flow
-$1.96B
Cap. Flow % of AUM
Cap. Flow %
-3.52%
Top 10 Holdings %
Top 10 Hldgs %
8.6%
Holding
2,396
New
159
Increased
1,068
Reduced
924
Closed
192
Avg Time Held
1.8
years
Top 10 Avg Time Held
0.5
years
Top 20 Avg Time Held
0.7
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
Verizon
VZ
|
+$145M |
| 2 |
American Electric Power
AEP
|
+$145M |
| 3 |
AT&T
T
|
+$126M |
| 4 |
ANDV
Andeavor
ANDV
|
+$120M |
| 5 |
Tyson Foods
TSN
|
+$117M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Pfizer
PFE
|
+$282M |
| 2 |
AET
Aetna Inc
AET
|
+$185M |
| 3 |
KeyCorp
KEY
|
+$162M |
| 4 |
Electronic Arts
EA
|
+$159M |
| 5 |
Biogen
BIIB
|
+$139M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Technology | 15.29% |
| 2 | Financials | 14.6% |
| 3 | Consumer Discretionary | 13.61% |
| 4 | Industrials | 12.44% |
| 5 | Healthcare | 11.5% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Apple
AAPL
$5.16T
| $730M | 1.31% |
26,803,484
-2,909,316
| -10% | -$72.5M |
2013 Q2
11 quarters
|
|
2
Microsoft
MSFT
$3.88T
| $725M | 1.3% |
13,129,592
+1,263,189
| +11% | +$66.2M |
2013 Q2
11 quarters
|
|
3
Public Service Enterprise Group
PEG
$37.3B
| $476M | 0.86% |
10,105,549
-110,051
| -1% | -$4.67M |
2013 Q2
11 quarters
|
|
4
PepsiCo
PEP
$194B
| $474M | 0.85% |
4,629,682
+499,692
| +12% | +$49.4M |
2013 Q2
11 quarters
|
|
5
Alphabet (Google) Class A
GOOGL
$3.67T
| $421M | 0.76% |
11,028,300
+143,780
| +1% | +$5.29M |
2015 Q4
1 quarter
|
|
6
UnitedHealth
UNH
$363B
| $414M | 0.74% |
3,210,959
-803,697
| -20% | -$95.1M |
2013 Q2
11 quarters
|
|
7
TSMC
TSM
$2.1T
| $396M | 0.71% |
15,109,364
+1,449,380
| +11% | +$33.9M |
2013 Q2
11 quarters
|
|
8
Procter & Gamble
PG
$389B
| $390M | 0.7% |
4,734,305
+1,285,165
| +37% | +$104M |
2013 Q2
11 quarters
|
|
9
PNC Financial Services
PNC
$91.8B
| $383M | 0.69% |
4,522,990
+473,813
| +12% | +$40.3M |
2013 Q2
11 quarters
|
|
10
Johnson & Johnson
JNJ
$683B
| $371M | 0.67% |
3,426,656
+865,734
| +34% | +$89.6M |
2013 Q2
11 quarters
|
|
11
Cisco
CSCO
$402B
| $365M | 0.66% |
12,822,958
-1,275,704
| -9% | -$32.8M |
2013 Q2
11 quarters
|
|
12
Walmart Inc
WMT
$1T
| $363M | 0.65% |
15,898,113
-2,931,327
| -16% | -$64.3M |
2013 Q2
11 quarters
|
|
13
Delta Air Lines
DAL
$56.9B
| $356M | 0.64% |
7,320,029
+1,808,600
| +33% | +$84.5M |
2013 Q2
11 quarters
|
|
|
14
American Electric Power
AEP
$70.2B
| $351M | 0.63% |
5,280,240
+2,339,116
| +80% | +$145M |
2013 Q2
11 quarters
|
|
15
Northrop Grumman
NOC
$78B
| $349M | 0.63% |
1,763,688
-621,569
| -26% | -$117M |
2013 Q2
11 quarters
|
|
16
Allstate
ALL
$66B
| $332M | 0.6% |
4,926,703
-384,358
| -7% | -$24.1M |
2013 Q2
11 quarters
|
|
17
United Airlines
UAL
$36.1B
| $331M | 0.6% |
5,531,447
-608,246
| -10% | -$32.3M |
2013 Q2
11 quarters
|
|
18
Wells Fargo
WFC
$257B
| $323M | 0.58% |
6,669,223
-92,929
| -1% | -$4.55M |
2013 Q2
11 quarters
|
|
19
Amazon
AMZN
$2.89T
| $321M | 0.58% |
10,805,560
+857,860
| +9% | +$24.3M |
2013 Q2
11 quarters
|
|
20
Lowe's Companies
LOW
$128B
| $311M | 0.56% |
4,102,658
-639,291
| -13% | -$45.1M |
2013 Q2
11 quarters
|
|
21
Valero Energy
VLO
$105B
| $309M | 0.56% |
4,815,409
-1,137,602
| -19% | -$72.4M |
2013 Q2
11 quarters
|
|
22
Nike
NKE
$56.1B
| $301M | 0.54% |
4,895,185
-642,017
| -12% | -$38.8M |
2013 Q2
11 quarters
|
|
23
Travelers Companies
TRV
$82.6B
| $301M | 0.54% |
2,577,165
-324,109
| -11% | -$35.4M |
2013 Q2
11 quarters
|
|
24
Home Depot
HD
$347B
| $297M | 0.53% |
2,228,460
-205,842
| -8% | -$25.7M |
2013 Q2
11 quarters
|
|
|
25
Verizon
VZ
$193B
| $289M | 0.52% |
5,348,935
+2,897,440
| +118% | +$145M |
2013 Q2
11 quarters
|
|
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Cliff Asness's Q1 2016 Portfolio in Review
As of Q1 2016, Cliff Asness held 2,396 positions worth $55.6B, down 2.7% from $57.1B the previous quarter. Its ten largest holdings account for 8.6% of the portfolio.
Cliff Asness withdrew a net $1.96B in Q1 2016, closing 192 positions and reducing 924 holdings. Its most notable exit was Broadcom, an estimated $82.9M position sold in full.
By sector, the portfolio is most concentrated in Technology at 15% of assets, up from 15% a quarter earlier, followed by Financials and Consumer Discretionary.
Against the trend, Cliff Asness opened a new position in CONCHO RESOURCES INC. worth $18.5M.
- Cliff Asness's largest Q1 2016 buy was CONCHO RESOURCES INC.: 182,889 shares worth $18.5M.
- Cliff Asness added most to Verizon in Q1 2016, an estimated $145M increase.
- Cliff Asness's biggest Q1 2016 reduction was Pfizer, cutting an estimated $282M.
- Cliff Asness fully exited Broadcom in Q1 2016, selling an estimated $82.9M.
- Cliff Asness's ten largest holdings make up 8.6% of its $55.6B portfolio in Q1 2016.
- Cliff Asness opened 159 new positions and closed 192 in Q1 2016.
- Cliff Asness's portfolio value fell 2.7% quarter-over-quarter to $55.6B.
Based on AQR Capital Management's 13F filing for Q1 2016, filed 16 May 2016.