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AQR CAPITAL MANAGEMENT LLC

What you'd have made by mirroring AQR CAPITAL MANAGEMENT LLC's public 13F filings, starting with $10,000 on Aug 14, 2024 and rebalancing at every disclosure through May 31, 2026.

8 filings replayed3727 of 4358 CUSIPs mapped to tickers977 closed trades3739 still open
Benchmark
SPYIWMQQQEFAAGG
S&P 500 — US large-cap broad market

Equity curve

$10,000 mirrored · vs SPY
$10k$11k$12k$13k$14k20252026
Mirror portfolio$10k in SPY
Mirror — final
$13.51K
SPY — final
$14.21K
Mirror return
+35.1%
Excess return vs SPY
-6.9%

Risk profile

Weekly mirror returns vs SPY · rf ≈ 4%
Sharpe
1.15
Max drawdown
-13.4%
Beta vs SPY
0.91
Information ratio
-0.65
CAGR
+18.3%
Volatility (ann.)
12.4%
Sortino
1.10
α (Jensen, ann.)
-1.8%
Tracking error
5.1%
Upside capture
90%
Downside capture
94%
Window
1.8y

Drawdown

Underwater curve — distance below running peak
-10%-5%0%-13.4%20252026

Largest drawdown: -13.4% from 2024-12-04 to 2025-04-16 · recovered 2025-07-02.

Style decomposition

R² 47% · 94 weekly obs

Multivariate regression of weekly mirror excess return on five style factors built from the benchmark ETFs: SPY (market), IWM−SPY (size), QQQ−SPY (growth), EFA−SPY (international), AGG−SPY (bonds). The intercept is the “true alpha” after stripping these passive tilts. ✓ marks loadings whose |t-stat| ≥ 2 (≈ 95% confidence the loading is non-zero).

Market (β)
+0.50✓
Size tilt
+0.40✓
Growth tilt
-0.27
International tilt
-0.13
Bond tilt
+0.07
α (style-adjusted)
+7.9%
R²
47%
α t-stat
1.12
Observations
94

Rolling 1y alpha

Trailing 52w mirror return − SPY return
-5%0%+5%avg -1.6%now -5.8%2026

Whether the headline alpha was earned recently or decades ago. Bands above the zero line are quarters where the mirror beat SPY on a trailing-year basis; bands below are quarters where it lost ground. A flat positive line = steady outperformance; a curve that crosses often = regime-dependent strategy.

Realized P&L · closed trades

Cumulative profit from positions opened and later sold
$0$2$4$6PDD −$4TGNA +$4EXK +$2TME +$220252026
Realized P&L
+$5.86
Closed trades
977
Win rate
27%
Avg return / closed
+4.2%

Biggest closed trades

IssuerEntryExitHeldReturnP&L
PDD HOLDINGS INC
PDD
Q3 2024Q1 20266Q-28%−$29.33M
TEGNA INC
TGNA
Q3 2024Q2 20267Q+57%+$27.76M
EXACT SCIENCES CORP
EXK
Q3 2024Q2 20267Q+244%+$15.85M
TENCENT MUSIC ENTMT GROUP
TME
Q3 2024Q4 20255Q+72%+$12.92M
FIVE BELOW INC
FIVE
Q3 2024Q4 20241Q+29%+$8.49M
AMYLYX PHARMACEUTICALS INC
AMLX
Q3 2024Q2 20253Q+112%+$7.12M
CHEGG INC
CHGG
Q3 2024Q1 20266Q-73%−$6.32M
KANZHUN LIMITED
BZ
Q3 2024Q1 20252Q+21%+$6M
RH
RH
Q4 2024Q2 20252Q-32%−$4.9M
ASE TECHNOLOGY HLDG CO LTD
ASX
Q3 2024Q4 20255Q+54%+$4.75M

Every trade · entry date × return

Bubble = position size at entry
-50%-25%0%+25%+50%+100%+200%+500%SNDK · +3188%AAOI · +2029%AMPX · +1411%20252026
PositiveNegativeStill open (marked to market)
Best closed pick
ANRO +693%
Worst closed pick
TPICQ -99%
Total trades
4,716
Open trades
3,739