AQR's Delta Strategy (A)

Posted: 5 Feb 2012

See all articles by Daniel Bergstresser

Daniel Bergstresser

Brandeis International Business School

Lauren Cohen

Harvard Business School; National Bureau of Economic Research (NBER)

Randolph B. Cohen

Harvard Business School - Finance Unit

Christopher J. Malloy

Harvard Business School; National Bureau of Economic Research (NBER)

Date Written: October 27, 2011

Abstract

In the summer of 2008, AQR Capital Management was considering the launch of a new hedge fund strategy. The proposed DELTA portfolio would offer investors exposure to a basket of nine major hedge fund strategies. The DELTA strategy would be innovative in two ways. First, in terms of its structure, AQR would implement these underlying strategies using a well-defined investment process, with the goal being to deliver exposure to a well-diversified portfolio of hedge fund strategies. Second, it terms of its fees, the new DELTA strategy would charge investors relatively lower fees: 1% management fees plus 10% of performance over a cash hurdle (or, alternatively, a management fee of 2% only). This fee structure was low relative to the industry, where 2% management fees plus 20% of performance, often with no hurdle, was standard.

Suggested Citation

Bergstresser, Daniel B. and Cohen, Lauren and Cohen, Randolph B. and Malloy, Christopher J., AQR's Delta Strategy (A) (October 27, 2011). Harvard Business School Finance Case No. 212-038. Available at SSRN: https://ssrn.com/abstract=1998218

Daniel B. Bergstresser (Contact Author)

Brandeis International Business School ( email )

Waltham, MA 02454
United States
6174162324 (Phone)

Lauren Cohen

Harvard Business School ( email )

Rock Center 321
Soldiers Field
Boston, MA 02163
United States

HOME PAGE: http://www.people.hbs.edu/lcohen

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Randolph B. Cohen

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
617-495-6674 (Phone)
617-496-6592 (Fax)

Christopher J. Malloy

Harvard Business School ( email )

Soldiers Field Road
Baker Library 277
Boston, MA 02163
United States
617-495-4383 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
2,231
PlumX Metrics