$203 billion asset manager Cliff Asness says he'll stick with his trademark investing style 'like grim death' despite bleeding assets

Cliff Asness, the founder of $203 billion AQR Capital Management, said it's a"pretty crappy" environment for his firm's quantitative investing style.

His firm saw more than $1 billion pulled in the first quarter, after $8.1 billion left in 2018, according to Bloomberg. AQR's $6 billion managed futures fund has returned -3.2% in the last year, per Morningstar. By comparison, Credit Suisse's managed futures fund returned almost 1% over the same time period.

"When you have a crappy period, intuition becomes much more important," he said, because"when things are bad, people want to understand why." While AQR's strategy may be more difficult to understand, particularly on a year-by-year basis, there's a silver lining, said Asness: if it were more comprehensible, more capital would chase the same investment style and diminish the firm's investing edge.

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