A rare public spat broke out on X (formerly Twitter) after Cliff Asness, Co-founder of quantitative investment firm AQR Capital Management, posted a long and sharply worded rebuttal to what he described as “nasty” and “superficial” analysis of his firm’s performance.

It stemmed from a critic by Bob Elliott, Co-founder and CEO, Unlimited Funds, who challenged AQR’s performance evaluation methods and compared the firm unfavourably to the SG Trend Index, a widely followed benchmark for trend-following strategies.

Elliott shared a post on X and wrote that “every manager spins a narrative on why their approach is better,” adding that even Asness does so. “That’s despite overwhelming evidence of no institutional manager outperformance persistence beyond random chance. AQR’s strategy is no different,” he stressed.

Elliott included a chart comparing AQR’s Managed Futures strategy against the SocGen CTA Index, both measured gross of fees. The chart showed the rolling six-month return difference fluctuating around zero over more than a decade, implying no enduring edge.

Learn performance evaluation 101: Asness

In a lengthy post on X, Asness responded to the critic of misunderstanding the basics of performance measurement and relying on bad and overly personal analysis. He suggested the critique was not only technically flawed but potentially motivated, calling it “a superficial (predetermined sales pitch)” pitch disguised as research.

Asness objected to the use of gross returns instead of net returns, a choice he said distorted comparisons. He argued that the numbers cited by Elliot did not match publicly available data and implied that the discrepancy favoured the critic’s narrative.

Asness addressed the core of the disagreement: how AQR’s trend-following strategies differ from the SG Trend Index. He argued that the SG index has, over time, incorporated more carry-like strategies, giving it different risk characteristics than AQR’s pure trend approach. He also emphasized that AQR had made improvements aimed at preserving convexity.

“In other words, we didn’t just add beta to try to make returns better like we believe many did. Long carry/beta “works” for that purpose it’s just not the point of managed futures. Our key improvements involve chasing not just past price trends but also past relevant fundamental trends for each asset (“economic trend“) and extending the universe to harder-to-access markets and strategies (“alternative trend“), he wrote.

Published on November 17, 2025