AQR Alternative Risk Premia Fund

QRPNX
  • daily nav $11.62
  • change $0.07
  • daily return 0.61%
  • inception date 9/19/2017
  • AUM $217MM

As of April 18, 2024

  About the Fund

Investment Objective

Seeks positive absolute returns.

A Core Alternative Solution

The Fund aims to deliver attractive risk-adjusted returns with low correlation to traditional stock/bond portfolios by investing in a broad and diversified range of alternative risk premia while accounting for potential tax implication of investment decisions.

Investment Approach

The Fund invests long and short across five different asset groups (Stocks & Industries, Equity Indices, Fixed Income, Currencies, and Commodities) and five investment styles (Value, Momentum, Carry, Defensive, and Trend), and aims to be market neutral over the long term.

Investment styles are disciplined, systematic and economically intuitive methods of investing that have the ability to produce long-term positive returns across markets and asset groups with little correlation to equity markets.

These styles have historically exhibited low correlations to one another. By allocating across strategies, the Fund exposures are well balanced across the different sources of return. An integrated portfolio of alternative risk premia can provide important diversification benefits to traditional portfolios and can serve as a core alternative allocation.

Why Invest in the AQR Alternative Risk Premia Fund?

Seeks Attractive Risk-Adjusted Returns
The Fund combines five different style strategies across a range of liquid asset groups: Stocks & Industries, Equity Indices, Fixed Income, Currencies, and Commodities. By implementing a risk-balanced exposure to these largely unrelated returns sources, the Fund aims to benefit from their diversification potential and deliver attractive risk-adjusted returns.
Opportunity To Perform In Rising And Falling Markets
By investing long and short, the Fund seeks to be market neutral with low correlation to equity and bond markets, and aims to provide positive absolute returns in both rising and falling markets.
Core Allocation To Alternatives
The Fund takes a holistic approach to style investing: combining exposure to five styles across four asset classes within one single portfolio. Investors may benefit from the simplicity of a single, balanced, core solution compared to the challenges of picking several single style products.
  Portfolio Characteristics

Portfolio Statistics

As of March 31, 2024

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
# of short holdings 1054
# of long holdings 910

Asset Class Exposure

As of March 31, 2024

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
% of Risk Allocation
Stocks & Industries 36.13%
Equity Indices 17.82%
Fixed Income 15.81%
Commodities 15.59%
Currencies 14.66%

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.

Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.

  Performance

Annualized Total Returns

As of March 29, 2024

MTD YTD 1YR 3YR 5YR Since Inception 9/19/2017 Gross Expense Ratio Net Expense Ratio*
AQR Alternative Risk Premia Fund 6.80% 20.17% 30.40% 19.04% 6.60% 4.00% 3.59% 3.40%
ICE BofA US 3M T-Bill Index 0.45% 1.29% 5.24% 2.58% 2.02% 1.97%
AQR Alternative Risk Premia Fund ICE BofA US 3M T-Bill Index
MTD 6.80% 0.45%
YTD 20.17% 1.29%
1YR 30.40% 5.24%
3YR 19.04% 2.58%
5YR 6.60% 2.02%
Since Inception 9/19/2017 4.00% 1.97%
Gross Expense Ratio 3.59%
Net Expense Ratio* 3.40%

As of March 29, 2024

QTD YTD 1YR 3YR 5YR Since Inception 9/19/2017 Gross Expense Ratio Net Expense Ratio*
AQR Alternative Risk Premia Fund 20.17% 20.17% 30.40% 19.04% 6.60% 4.00% 3.59% 3.40%
ICE BofA US 3M T-Bill Index 1.29% 1.29% 5.24% 2.58% 2.02% 1.97%
AQR Alternative Risk Premia Fund ICE BofA US 3M T-Bill Index
QTD 20.17% 1.29%
YTD 20.17% 1.29%
1YR 30.40% 5.24%
3YR 19.04% 2.58%
5YR 6.60% 2.02%
Since Inception 9/19/2017 4.00% 1.97%
Gross Expense Ratio 3.59%
Net Expense Ratio* 3.40%

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.

  Managers

Jordan Brooks

Principal

  • 15 years of experience
  • 15 years at AQR

Ph.D., M.A., New York University

B.A., Boston College

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

Yao Hua Ooi

Principal

  • 19 years of experience
  • 19 years at AQR

B.S., B.S., University of Pennsylvania

Nathan Sosner

Principal

  • 20 years of experience
  • 9 years at AQR

Ph.D., Harvard University

M.A., B.A., Tel Aviv University

  Fees & Minimums

Investment Minimums

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Individual Investors $2,500
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Management Fee 1.20%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 1.72%
     All Other Expenses 0.39%
Acquired Fund Fees 0.03%
Gross Expenses 3.59%
Less: Expense Reimbursements 0.19%
Net Expenses* 3.40%

Acquired Fund Fees and Expenses reflect the expenses incurred indirectly by the Fund as a result of the Fund's investments in underlying money market mutual funds, exchange-traded funds or other pooled investment vehicles.

* As stated in the prospectus, the Adviser has contractually agreed to reimburse operating expenses of the Fund in an amount sufficient to limit certain Specified Expenses in the table above at no more than 0.20% for Class N Shares at least through April 30, 2024. "Specified Expenses" for this purpose include all Fund operating expenses other than management fees and 12b-1 fees and exclude interest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales, expenses related to class action claims, contingent expenses related to tax reclaim receipts, reorganization expenses and extraordinary expenses. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 1.68%

**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.

  Documents

Fund Literature

Fund Reporting

  • Complete Holdings

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:
The use of derivatives, forward and futures contracts, and commodities 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. Concentration generally will lead to greater price volatility. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. Diversification does not eliminate risk.

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.

The potential for tax-efficiency is a result of the presence of long and short positions, which increases the opportunity to realize capital losses in both up and down markets.

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 investingTo 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.
©2023 AQR Funds. All rights reserved.