Quant powerhouse AQR Capital Management has launched its first fixed income strategy in the US, the AQR Core Plus Bond fund.
The fund is co-managed by Ronen Israel, Scott Richardson and Jordan Brooks and will charge a 0.32% management fee.
Benchmarked against the Bloomberg Barclays US Aggregate index, the fund systematically applies factors such as value, momentum, carry and defensive themes.
While the fund invests in a portfolio of standard fixed-income securities such as corporate bonds, inflation-linked bonds, US government bonds and foreign bonds, it aims to adopt a quantitative-driven and risk-controlled approach to beat the benchmark.
‘Our approach is rooted in AQR’s research-based investment philosophy,’ said Brooks. ‘We have found that systematic strategies can be as successfully applied in fixed income as in equities, offering investors access to targeted sources of returns, many of which are altogether absent from traditional fixed income portfolios.’
AQR has invested in fixed income for over 19 years in its multi-strategy products, which are available as Ucits funds, but the Core Plus Bond fund marks the first time the quant-driven firm will run a standalone fixed income mutual fund in the US.
The fund began operation today and is only distributed through financial advisors.
AQR also filed to launch the AQR High Yield Bond fund at the end of last year. The fund will be benchmarked against the BofA Merrill Lynch US High Yield index and managed by the same team as the Core Plus Bond fund.
AQR, which was founded in 1998 by Cliff Asness, David G. Kabiller, John Liew and Robert Krail, had $224 billion in assets under management as of December 31, 2017.
