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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
+2.32%
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
$56.7B
AUM Growth
+$1.08B
(+1.9%)
Cap. Flow
+$547M
Cap. Flow % of AUM
Cap. Flow %
0.97%
Top 10 Holdings %
Top 10 Hldgs %
8.66%
Holding
2,362
New
158
Increased
1,005
Reduced
951
Closed
174
Avg Time Held
1.9
years
Top 10 Avg Time Held
0.7
years
Top 20 Avg Time Held
0.7
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
FirstEnergy
FE
|
+$185M |
| 2 |
Tyson Foods
TSN
|
+$177M |
| 3 |
Procter & Gamble
PG
|
+$110M |
| 4 |
Entergy
ETR
|
+$101M |
| 5 |
ENDP
Endo International plc
ENDP
|
+$95.4M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Nike
NKE
|
+$129M |
| 2 |
Apple
AAPL
|
+$107M |
| 3 |
Abbott
ABT
|
+$99.3M |
| 4 |
AGN
Allergan plc
AGN
|
+$88.8M |
| 5 |
Goldman Sachs
GS
|
+$88M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Technology | 14.27% |
| 2 | Financials | 13.34% |
| 3 | Industrials | 12.76% |
| 4 | Consumer Discretionary | 12.72% |
| 5 | Consumer Staples | 11.18% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Microsoft
MSFT
$3.89T
| $665M | 1.17% |
12,998,455
-131,137
| -1% | -$6.81M |
2013 Q2
12 quarters
|
|
|
2
Apple
AAPL
$5.07T
| $538M | 0.95% |
22,496,496
-4,306,988
| -16% | -$107M |
2013 Q2
12 quarters
|
|
|
3
Procter & Gamble
PG
$374B
| $514M | 0.91% |
6,068,941
+1,334,636
| +28% | +$110M |
2013 Q2
12 quarters
|
|
4
Johnson & Johnson
JNJ
$635B
| $512M | 0.9% |
4,222,991
+796,335
| +23% | +$90.5M |
2013 Q2
12 quarters
|
|
5
PepsiCo
PEP
$185B
| $508M | 0.9% |
4,792,947
+163,265
| +4% | +$16.8M |
2013 Q2
12 quarters
|
|
6
Public Service Enterprise Group
PEG
$35.9B
| $464M | 0.82% |
9,963,025
-142,524
| -1% | -$6.47M |
2013 Q2
12 quarters
|
|
|
7
Tyson Foods
TSN
$19.9B
| $460M | 0.81% |
6,894,555
+2,729,327
| +66% | +$177M |
2013 Q2
12 quarters
|
|
8
UnitedHealth
UNH
$375B
| $422M | 0.75% |
2,990,433
-220,526
| -7% | -$29.4M |
2013 Q2
12 quarters
|
|
9
Walmart Inc
WMT
$951B
| $412M | 0.73% |
16,947,417
+1,049,304
| +7% | +$24.3M |
2013 Q2
12 quarters
|
|
10
American Electric Power
AEP
$70.6B
| $410M | 0.72% |
5,843,015
+562,775
| +11% | +$36.8M |
2013 Q2
12 quarters
|
|
11
PNC Financial Services
PNC
$89.5B
| $379M | 0.67% |
4,655,527
+132,537
| +3% | +$11.4M |
2013 Q2
12 quarters
|
|
12
Northrop Grumman
NOC
$78.3B
| $367M | 0.65% |
1,652,079
-111,609
| -6% | -$23.5M |
2013 Q2
12 quarters
|
|
13
Alphabet (Google) Class A
GOOGL
$3.92T
| $363M | 0.64% |
10,316,800
-711,500
| -6% | -$26.1M |
2015 Q4
2 quarters
|
|
14
Amazon
AMZN
$2.68T
| $358M | 0.63% |
9,994,240
-811,320
| -8% | -$27.4M |
2013 Q2
12 quarters
|
|
15
Cisco
CSCO
$420B
| $343M | 0.61% |
11,955,650
-867,308
| -7% | -$24.3M |
2013 Q2
12 quarters
|
|
16
TSMC
TSM
$2.17T
| $328M | 0.58% |
12,509,285
-2,600,079
| -17% | -$64.9M |
2013 Q2
12 quarters
|
|
17
Verizon
VZ
$186B
| $328M | 0.58% |
5,873,692
+524,757
| +10% | +$27.2M |
2013 Q2
12 quarters
|
|
|
18
FirstEnergy
FE
$26.7B
| $328M | 0.58% |
9,383,869
+5,447,191
| +138% | +$185M |
2015 Q1
5 quarters
|
|
19
Meta Platforms (Facebook)
META
$1.64T
| $326M | 0.57% |
2,848,750
+340,634
| +14% | +$39.3M |
2013 Q3
11 quarters
|
|
20
Allstate
ALL
$64B
| $325M | 0.57% |
4,653,052
-273,651
| -6% | -$18.3M |
2013 Q2
12 quarters
|
|
21
Travelers Companies
TRV
$83.1B
| $310M | 0.55% |
2,603,291
+26,126
| +1% | +$2.96M |
2013 Q2
12 quarters
|
|
22
AT&T
T
$141B
| $287M | 0.51% |
8,809,219
+977,143
| +12% | +$29.1M |
2013 Q2
12 quarters
|
|
23
Elevance Health
ELV
$95.4B
| $287M | 0.51% |
2,188,385
+251,018
| +13% | +$34.3M |
2013 Q2
12 quarters
|
|
24
Home Depot
HD
$319B
| $283M | 0.5% |
2,213,477
-14,983
| -0.7% | -$1.98M |
2013 Q2
12 quarters
|
|
25
Pfizer
PFE
$171B
| $278M | 0.49% |
8,333,180
-190,915
| -2% | -$6.09M |
2013 Q2
12 quarters
|
|
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Cliff Asness's Q2 2016 Portfolio in Review
As of Q2 2016, Cliff Asness held 2,362 positions worth $56.7B, up 1.9% from $55.6B the previous quarter. Its ten largest holdings account for 8.7% of the portfolio.
Cliff Asness's Q2 2016 filing shows 158 new, 1,005 increased, 951 reduced and 174 closed positions. Its largest new stake was S&P Global: 466,444 shares worth $50M. The largest sale was Nike, an estimated $129M.
By sector, the portfolio is most concentrated in Technology at 14% of assets, down from 15% a quarter earlier, followed by Financials and Industrials.
- Cliff Asness's largest Q2 2016 buy was S&P Global: 466,444 shares worth $50M.
- Cliff Asness added most to FirstEnergy in Q2 2016, an estimated $185M increase.
- Cliff Asness's biggest Q2 2016 reduction was Nike, cutting an estimated $129M.
- Cliff Asness fully exited TIME WARNER CABLE INC NEW COM STK in Q2 2016, selling an estimated $59.8M.
- Cliff Asness's ten largest holdings make up 8.7% of its $56.7B portfolio in Q2 2016.
- Cliff Asness opened 158 new positions and closed 174 in Q2 2016.
- Cliff Asness's portfolio value rose 1.9% quarter-over-quarter to $56.7B.
Based on AQR Capital Management's 13F filing for Q2 2016, filed 15 Aug 2016.