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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
+6.22%
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
$72.5B
AUM Growth
+$7.15B
(+11%)
Cap. Flow
+$4.26B
Cap. Flow % of AUM
Cap. Flow %
5.88%
Top 10 Holdings %
Top 10 Hldgs %
8.86%
Holding
2,368
New
125
Increased
1,024
Reduced
1,006
Closed
145
Avg Time Held
2.2
years
Top 10 Avg Time Held
0.8
years
Top 20 Avg Time Held
0.9
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
Hewlett Packard
HPE
|
+$483M |
| 2 |
Wells Fargo
WFC
|
+$147M |
| 3 |
Delta Air Lines
DAL
|
+$139M |
| 4 |
SunTrust Banks, Inc.
STI
|
+$129M |
| 5 |
Aflac
AFL
|
+$128M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
Mondelez International
MDLZ
|
+$115M |
| 2 |
Cognizant
CTSH
|
+$107M |
| 3 |
BRCD
Brocade Communications Systems, Inc. NEW
BRCD
|
+$107M |
| 4 |
DuPont de Nemours
DD
|
+$90.3M |
| 5 |
PepsiCo
PEP
|
+$69.5M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Financials | 16.58% |
| 2 | Technology | 16.25% |
| 3 | Industrials | 14.81% |
| 4 | Consumer Discretionary | 11.8% |
| 5 | Healthcare | 9.46% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Microsoft
MSFT
$3.9T
| $860M | 1.19% |
13,841,998
-260,188
| -2% | -$15.6M |
2013 Q2
14 quarters
|
|
2
Apple
AAPL
$5.2T
| $765M | 1.06% |
26,420,560
+646,240
| +3% | +$18.3M |
2013 Q2
14 quarters
|
|
3
Johnson & Johnson
JNJ
$680B
| $721M | 0.99% |
6,254,092
+585,337
| +10% | +$67.6M |
2013 Q2
14 quarters
|
|
4
Walmart Inc
WMT
$1T
| $609M | 0.84% |
26,431,779
+5,069,382
| +24% | +$118M |
2013 Q2
14 quarters
|
|
5
Procter & Gamble
PG
$391B
| $605M | 0.83% |
7,195,958
-325,159
| -4% | -$27.7M |
2013 Q2
14 quarters
|
|
6
UnitedHealth
UNH
$360B
| $598M | 0.83% |
3,738,256
+615,957
| +20% | +$92M |
2013 Q2
14 quarters
|
|
7
PNC Financial Services
PNC
$91.5B
| $589M | 0.81% |
5,037,511
-423,301
| -8% | -$44M |
2013 Q2
14 quarters
|
|
|
8
Hewlett Packard
HPE
$65.7B
| $579M | 0.8% |
43,027,245
+36,165,061
| +527% | +$483M |
2015 Q4
4 quarters
|
|
9
Applied Materials
AMAT
$304B
| $561M | 0.77% |
17,399,598
+3,392,749
| +24% | +$103M |
2013 Q2
14 quarters
|
|
10
Tyson Foods
TSN
$20.9B
| $533M | 0.74% |
8,646,954
+1,025,423
| +13% | +$67.4M |
2013 Q2
14 quarters
|
|
|
11
Wells Fargo
WFC
$258B
| $520M | 0.72% |
9,439,158
+2,916,320
| +45% | +$147M |
2013 Q2
14 quarters
|
|
12
United Airlines
UAL
$36.9B
| $494M | 0.68% |
6,778,703
-620,877
| -8% | -$39.6M |
2013 Q2
14 quarters
|
|
13
JPMorgan Chase
JPM
$910B
| $478M | 0.66% |
5,539,766
+1,411,214
| +34% | +$108M |
2013 Q2
14 quarters
|
|
14
TSMC
TSM
$2.1T
| $474M | 0.65% |
16,483,672
+3,503,360
| +27% | +$105M |
2013 Q2
14 quarters
|
|
15
Northrop Grumman
NOC
$77.8B
| $462M | 0.64% |
1,987,382
+212,635
| +12% | +$49.4M |
2013 Q2
14 quarters
|
|
|
RTN
16
DELISTED
Raytheon Company
RTN
| $449M | 0.62% |
3,163,718
+541,525
| +21% | +$77M |
2013 Q2
14 quarters
|
|
17
Intel
INTC
$320B
| $444M | 0.61% |
12,245,831
+32,040
| +0.3% | +$1.15M |
2013 Q2
14 quarters
|
|
|
18
DELISTED
SunTrust Banks, Inc.
STI
| $442M | 0.61% |
8,063,984
+2,588,353
| +47% | +$129M |
2013 Q2
14 quarters
|
|
19
Allstate
ALL
$66.2B
| $438M | 0.6% |
5,905,505
+758,632
| +15% | +$53.4M |
2013 Q2
14 quarters
|
|
20
Cisco
CSCO
$396B
| $424M | 0.59% |
14,032,832
+697,701
| +5% | +$21.3M |
2013 Q2
14 quarters
|
|
21
HP
HPQ
$26B
| $422M | 0.58% |
28,409,598
-1,695,576
| -6% | -$25.7M |
2013 Q2
14 quarters
|
|
|
22
PepsiCo
PEP
$196B
| $421M | 0.58% |
4,024,224
-663,559
| -14% | -$69.5M |
2013 Q2
14 quarters
|
|
23
American Electric Power
AEP
$70.6B
| $417M | 0.58% |
6,620,571
+125,055
| +2% | +$7.71M |
2013 Q2
14 quarters
|
|
24
ExxonMobil
XOM
$687B
| $413M | 0.57% |
4,574,206
+315,106
| +7% | +$27.5M |
2013 Q2
14 quarters
|
|
25
Public Service Enterprise Group
PEG
$37.2B
| $413M | 0.57% |
9,408,592
+543,296
| +6% | +$22.7M |
2013 Q2
14 quarters
|
|
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Cliff Asness's Q4 2016 Portfolio in Review
As of Q4 2016, Cliff Asness held 2,368 positions worth $72.5B, up 11% from $65.3B the previous quarter. Its ten largest holdings account for 8.9% of the portfolio.
Cliff Asness deployed $4.26B of net new capital in Q4 2016, opening 125 new positions and adding to 1,024 existing holdings. Its largest new stake was Yum China: 1,080,283 shares worth $28.2M.
By sector, the portfolio is most concentrated in Financials at 17% of assets, up from 13% a quarter earlier, followed by Technology and Industrials.
On the sell side, the largest reduction was Mondelez International, an estimated $115M trimmed.
- Cliff Asness's largest Q4 2016 buy was Yum China: 1,080,283 shares worth $28.2M.
- Cliff Asness added most to Hewlett Packard in Q4 2016, an estimated $483M increase.
- Cliff Asness's biggest Q4 2016 reduction was Mondelez International, cutting an estimated $115M.
- Cliff Asness fully exited Lexmark Intl Inc in Q4 2016, selling an estimated $32.5M.
- Cliff Asness's ten largest holdings make up 8.9% of its $72.5B portfolio in Q4 2016.
- Cliff Asness opened 125 new positions and closed 145 in Q4 2016.
- Cliff Asness's portfolio value rose 11% quarter-over-quarter to $72.5B.
Based on AQR Capital Management's 13F filing for Q4 2016, filed 14 Feb 2017.