Value Losses Lead $10 Billion Quant Trader AJO Partners to Shut:
AJO Partners, a $10 billion quantitative fund manager, will shut by the end of this year after suffering steep losses from its value strategy.
The Philadelphia-based firm, which specializes in picking securities based on quantifiable characteristics such as their apparent cheapness, will stop trading on Nov. 30, according to an email from founder Ted Aronson seen by Bloomberg News and confirmed by him.
Established in 1984, AJO served institutional clients with a range of systematic strategies built from factors including value. While technology stocks have soared over the past decade, value has proved a losing strategy in part thanks to shifts in the global economy.
“We still believe there is a future for value investing; sadly, the future is unlikely to arrive fast enough — for us,” wrote Aronson, who now plans to retire.
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The $5.1 billion AJO Large Cap Absolute Value strategy dropped 15% this year through September, data from the money manager shows. That compares with a 12% loss in the Russell 1000 Value and a 6% gain in the Russell 1000.
“The better part of valor is to return the assets and call it a day,” Aronson said. “Our clients are exclusively large sophisticated institutional clients, so they have superior alternatives. C’est la vie.”
