What if you had copied AQR Capital?
Cliff Asness
The verdict
Copying AQR Capital's 13F filings from Feb 2020 would have turned $10,000 into $24,545, less than the S&P 500 did.
The S&P 500 turned the same $10,000 into $24,639 over the same days. The copy returned +14.3% a year against +14.4% for the S&P 500, 0.1 points a year behind. Its worst fall was 29.5%, from Feb 19, 2020 to Mar 23, 2020. The S&P 500's worst fall over the test was 33.7%.
Copied Feb 18, 2020 to Nov 9, 2026 · SEC 13F filings and daily closes
What $10,000 became
- Copying AQR Capital$24,545
- S&P 500$24,639
- Bought their first portfolio and never traded$26,139
If you had bought their first portfolio and never traded, you would have ended at $26,139, so following every move cost $1,593.
- $10,000 copied
- $24,545
- +145.5%, +14.3% a year
- In the S&P 500
- $24,639
- +146.4%, +14.4% a year
- No trading
- $26,139
- Bought their first portfolio and never traded
- Worst fall
- −29.5%
- Feb 19, 2020 to Mar 23, 2020
- Trades
- 514
- 282 buys, 232 sales over 27 filings; about 69% of the copy traded a year
The moves that made the most
- AAPLApple+$1,794
Held since Feb 2020, the stock up 356%
- NVDANVIDIA+$1,547
Held since Aug 2020, the stock up 529%
- MSFTMicrosoft+$1,264
Held since Feb 2020, the stock up 209%
- METAMeta Platforms+$666
Held since Feb 2020, the stock up 197%
- AVGOBroadcom+$663
Held since Feb 2021, the stock up 545%
- AMZNAmazon.com+$625
Held since Feb 2020, the stock up 148%
The moves that cost the most
- RBLXRoblox−$258
Held from May 2025 to May 2026, the stock down 42%
- WDCWestern Digital−$230
Held since May 2026, the stock down 37%
Held since Aug 2026, the stock down 49%
- INTCIntel−$178
Held since Feb 2020, the stock down 56%
- TERTeradyne−$172
Held since Aug 2026, the stock down 45%
- SNDKSandisk−$164
Held since Aug 2026, the stock down 50%
Year by year
| Year | Copy | S&P 500 | Gap, pts |
|---|---|---|---|
| 2020from Feb 2020 | +10.6% | +13.1% | −2.5 |
| 2021 | +29.6% | +28.7% | +0.9 |
| 2022 | −19.0% | −18.2% | −0.9 |
| 2023 | +27.3% | +26.2% | +1.1 |
| 2024 | +30.9% | +24.9% | +6.0 |
| 2025 | +21.4% | +17.7% | +3.7 |
| 2026to Nov 2026 | +4.5% | +11.5% | −7.0 |
A historical test on paper, before costs and taxes. It trades at the close of the first trading day after each filing comes out, up to 45 days after the quarter, and skips delisted companies, which flatters it.