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  • October 2011 (Revised March 2012)
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AQR's DELTA Strategy

By: Daniel Bergstresser, Lauren Cohen, Randolph B. Cohen and Christopher Malloy
  • Format:Print
  • | Language:English
  • | Pages:18
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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.)
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About The Authors

Lauren H. Cohen

Finance
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Randolph B. Cohen

Finance
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Related Work

    • February 2013
    • Faculty Research

    AQR's Delta Strategy (CW)

    By: Lauren Cohen and Christopher J. Malloy
    • March 2012 (Revised February 2013)
    • Faculty Research

    AQR's DELTA Strategy (TN)

    By: Daniel Bergstresser, Lauren Cohen, Christopher Malloy, Randolph B. Cohen and Timothy Gray
    • October 2011 (Revised March 2012)
    • Faculty Research

    AQR's DELTA Strategy

    By: Daniel Bergstresser, Lauren Cohen, Randolph B. Cohen and Christopher Malloy
Related Work
  • AQR's Delta Strategy (CW) By: Lauren Cohen and Christopher J. Malloy
  • AQR's DELTA Strategy (TN) By: Daniel Bergstresser, Lauren Cohen, Christopher Malloy, Randolph B. Cohen and Timothy Gray
  • AQR's DELTA Strategy By: Daniel Bergstresser, Lauren Cohen, Randolph B. Cohen and Christopher Malloy
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