Citation:
Cohen, Lauren, and Christopher J. Malloy. "AQR's Delta Strategy (CW)." Harvard Business School Spreadsheet Supplement 213-711, February 2013. View Details|
Case HBS Case Collection October 2011 (Revised March 2012) AQR's DELTA Strategy |
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, in 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.
Keywords: Investment Portfolio; Investment Funds; Financial Strategy; Financial Services Industry;
Citation:
Bergstresser, Daniel, Lauren Cohen, Randolph B. Cohen, and Christopher Malloy. "AQR's DELTA Strategy." Harvard Business School Case 212-038, October 2011. (Revised March 2012.)
