AQR Equity Market Neutral Fund
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- daily nav $9.70
- change $0.01
- daily return 0.10%
- inception date 10/7/2014
- AUM $477MM
Investment Objective
Seeking Positive Returns Uncorrelated to Equity Markets
The Equity Market Neutral Fund seeks to generate positive returns without exposing investors to the risks of equity markets by buying, or going long, stocks expected to perform well and selling short stocks expected to perform relatively poorly.
Investment Approach
The Fund seeks to deliver positive absolute returns by taking long and short positions in equity and equity-related instruments that are deemed to be relatively attractive or unattractive, respectively, based on AQR's investment models.
The Fund is designed to be market neutral; positions in the portfolio are chosen so that the long side exposure is offset by the short side. The portfolio is constructed based on AQR's global stock selection model, employing value, momentum, quality, and other proprietary factors to indicate which industries, sectors and companies are conditionally attractive or unattractive.
Why Invest in the AQR Equity Market Neutral Fund?
Seeks Attractive Risk-Adjusted Returns
Opportunity to Perform in Rising and Falling Markets
Greater Portfolio Diversification
Country Exposures
As of December 31, 2023
| Benchmark | Short | |
|---|---|---|
| Australia | 4.44% | -4.65% |
| Belgium | 1.19% | -1.15% |
| Canada | 6.65% | -6.63% |
| Denmark | 1.97% | -1.90% |
| Finland | 1.12% | -1.04% |
| France | 7.88% | -6.92% |
| Germany | 7.90% | -7.60% |
| Hong Kong | 2.25% | -1.91% |
| Italy | 4.35% | -3.29% |
| Japan | 40.86% | -36.08% |
| Netherlands | 3.69% | -3.34% |
| Norway | 0.83% | -0.59% |
| Singapore | 1.02% | -1.10% |
| Spain | 3.54% | -3.40% |
| Sweden | 4.95% | -5.04% |
| Switzerland | 5.78% | -5.78% |
| United Kingdom | 16.10% | -13.06% |
| United States | 124.95% | -119.07% |
| Total | 239.49% | -222.56% |
Top 5 Long Equity Holdings
As of December 31, 2023
| Mizuho | 1.47% |
|---|---|
| Novartis | 1.35% |
| Amazon.com | 1.32% |
| 3M | 1.17% |
| Cisco Systems | 1.17% |
Top 5 Short Equity Holdings
As of December 31, 2023
| AstraZeneca | -1.32% |
|---|---|
| UnitedHlth Grp | -1.02% |
| Celanese US DE | -1.02% |
| Nitori Holdings | -1.02% |
| Keyence | -1.01% |
Sector Exposures
As of December 31, 2023
| Net | Long | Short | |
|---|---|---|---|
| Communication Services | 1.30% | 11.18% | -9.88% |
| Consumer Discretionary | 9.21% | 40.37% | -31.15% |
| Consumer Staples | -0.25% | 16.60% | -16.85% |
| Energy | 2.94% | 8.78% | -5.84% |
| Financials | 11.27% | 37.03% | -25.75% |
| Health Care | -11.96% | 19.97% | -31.92% |
| Industrials | 8.65% | 49.46% | -40.81% |
| Information Technology | 4.57% | 29.02% | -24.45% |
| Materials | -3.43% | 14.97% | -18.40% |
| Miscellaneous | 0.13% | 0.13% | 0.00% |
| Real Estate | -2.31% | 4.53% | -6.84% |
| Utilities | -3.21% | 7.46% | -10.67% |
| Total | 16.93% | 239.49% | -222.56% |
Portfolio Statistics
As of December 31, 2023
| # of long holdings | 1000 |
|---|---|
| # of short holdings | 1003 |
| Long Exposure (% of NAV) | 239.49% |
| Short Exposure (% of NAV) | 222.56% |
All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities. Please see disclosure section for a glossary of industry terms.
AQR Equity Market Neutral Fund: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty.
Annualized Total Returns
As of March 29, 2024
| MTD | YTD | 1YR | 3YR | 5YR | Since Inception 10/7/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Equity Market Neutral Fund | 5.22% | 11.67% | 29.34% | 19.60% | 7.39% | 5.90% | 4.59% | 4.51% |
| ICE BofA US 3M T-Bill Index | 0.45% | 1.29% | 5.24% | 2.58% | 2.02% | 1.45% |
| AQR Equity Market Neutral Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| MTD | 5.22% | 0.45% |
| YTD | 11.67% | 1.29% |
| 1YR | 29.34% | 5.24% |
| 3YR | 19.60% | 2.58% |
| 5YR | 7.39% | 2.02% |
| Since Inception 10/7/2014 | 5.90% | 1.45% |
| Gross Expense Ratio | 4.59% | |
| Net Expense Ratio* | 4.51% |
As of March 29, 2024
| QTD | YTD | 1YR | 3YR | 5YR | Since Inception 10/7/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Equity Market Neutral Fund | 11.67% | 11.67% | 29.34% | 19.60% | 7.39% | 5.90% | 4.59% | 4.51% |
| ICE BofA US 3M T-Bill Index | 1.29% | 1.29% | 5.24% | 2.58% | 2.02% | 1.45% |
| AQR Equity Market Neutral Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| QTD | 11.67% | 1.29% |
| YTD | 11.67% | 1.29% |
| 1YR | 29.34% | 5.24% |
| 3YR | 19.60% | 2.58% |
| 5YR | 7.39% | 2.02% |
| Since Inception 10/7/2014 | 5.90% | 1.45% |
| Gross Expense Ratio | 4.59% | |
| Net Expense Ratio* | 4.51% |
The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2024. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.
Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
ICE Bank of America Merrill Lynch 3 Month T-Bill Index: An index that tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months. Indexes are unmanaged and one cannot invest directly in an index.
AQR Equity Market Neutral Fund: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty.
Cliff Asness
Managing & Founding Principal
- 32 years of experience
- 26 years at AQR
Ph.D., M.B.A., University of Chicago
B.S., B.S., University of Pennsylvania
Michele L. Aghassi
Principal
- 25 years of experience
- 18 years at AQR
Ph.D., Massachusetts Institute of Technology
B.S., Brown University
Andrea Frazzini
Principal
- 19 years of experience
- 15 years at AQR
Ph.D., Yale University
M.S., London School of Economics
B.S., University of Rome III
John J. Huss
Principal
- 20 years of experience
- 14 years at AQR
S.B., Massachusetts Institute of Technology
Laura Serban
- 13 years of experience
- 12 years at AQR
A.B., M.S., Ph.D., Harvard University
Investment Minimums
| Individual Investors | $5 Million |
|---|---|
| Institutional Investors | None |
| Accounts Offered by Financial Advisors | None |
Shareholder Fees
| Sales Load | None |
|---|---|
| Deferred Sales Load | None |
| Redemption Fees | None |
Annual Fund Operating Expenses
| Management Fee | 1.10% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 3.17% |
| All Other Expenses | 0.28% |
| Acquired Fund Fees | 0.04% |
| Gross Expenses | 4.59% |
| Less: Expense Reimbursements | 0.08% |
| Net Expenses* | 4.51% |
AQR Equity Market Neutral Fund: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty.
| Adjusted Expense Ratio** | 1.34% |
|---|
**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowing and repurchase agreements and dividend expenses from investments on short sales, incurred directly by the Fund, none of which are paid to the Advisor.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Information about how each Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 will be available no later than August 31. Please click here to view the most recent Form N-PX for the AQR Funds.
PRINCIPAL RISKS:
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
Foreign and Emerging Market investing involves special risks such as currency fluctuations and political uncertainty. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
An investment in the Fund is subject to risks, including the possibility that the value of the Fund’s portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus or summary prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
View definitions of benchmarks and other terms used here.
Diversification does not eliminate risk. Indexes are unmanaged and one cannot invest directly in an index.
Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.
The information provided herein (including any separate documents that may be accessed through this website) is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AQR Capital Management, LLC (“AQR Capital”) nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement investor, contact your financial advisor or other fiduciary unrelated to AQR about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances.
There are risks involved with investing including the possible loss of principal.
Past performance does not guarantee future results.
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