AQR Alternative Risk Premia Fund
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- daily nav $11.34
- change $0.04
- daily return 0.35%
- inception date 9/19/2017
- AUM $218MM
Investment Objective
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
Opportunity To Perform In Rising And Falling Markets
Core Allocation To Alternatives
Portfolio Statistics
As of June 30, 2024
| # of short holdings | 1038 |
|---|---|
| # of long holdings | 996 |
Asset Class Exposure
As of June 30, 2024
| % of Risk Allocation | |
|---|---|
| Stocks & Industries | 25.18% |
| Equity Indices | 25.04% |
| Fixed Income | 18.57% |
| Commodities | 18.55% |
| Currencies | 12.67% |
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.
Annualized Total Returns
As of September 30, 2024
| MTD | YTD | 1YR | 3YR | 5YR | Since Inception 9/19/2017 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Alternative Risk Premia Fund | 0.26% | 18.51% | 10.01% | 17.81% | 6.30% | 3.50% | 5.17% | 5.02% |
| ICE BofA US 3M T-Bill Index | 0.43% | 4.03% | 5.46% | 3.49% | 2.32% | 2.22% |
| AQR Alternative Risk Premia Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| MTD | 0.26% | 0.43% |
| YTD | 18.51% | 4.03% |
| 1YR | 10.01% | 5.46% |
| 3YR | 17.81% | 3.49% |
| 5YR | 6.30% | 2.32% |
| Since Inception 9/19/2017 | 3.50% | 2.22% |
| Gross Expense Ratio | 5.17% | |
| Net Expense Ratio* | 5.02% |
As of September 30, 2024
| QTD | YTD | 1YR | 3YR | 5YR | Since Inception 9/19/2017 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Alternative Risk Premia Fund | -1.04% | 18.51% | 10.01% | 17.81% | 6.30% | 3.50% | 5.17% | 5.02% |
| ICE BofA US 3M T-Bill Index | 1.37% | 4.03% | 5.46% | 3.49% | 2.32% | 2.22% |
| AQR Alternative Risk Premia Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| QTD | -1.04% | 1.37% |
| YTD | 18.51% | 4.03% |
| 1YR | 10.01% | 5.46% |
| 3YR | 17.81% | 3.49% |
| 5YR | 6.30% | 2.32% |
| Since Inception 9/19/2017 | 3.50% | 2.22% |
| Gross Expense Ratio | 5.17% | |
| Net Expense Ratio* | 5.02% |
The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2025. 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.
Jordan Brooks
Principal
Ph.D., M.A., New York University
B.A., Boston College
Andrea Frazzini
Principal
Ph.D., Yale University
M.S., London School of Economics
B.S., University of Rome III
John J. Huss
Principal
S.B., Massachusetts Institute of Technology
Nathan Sosner
Principal
Ph.D., Harvard University
M.A., B.A., Tel Aviv University
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Bryan T. Kelly
A.B., University of Chicago
M.A., University of California - San Diego
Ph.D., New York University
Tobias J. Moskowitz
Principal
Ph.D., University of California, Los Angeles
M.S., B.S., Purdue University
Erik Stamelos
A.B., Harvard University
Investment Minimums
| Individual Investors | $2,500 |
|---|---|
| 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 | 1.20% |
|---|---|
| Distribution (12b-1) Fee | 0.25% |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 3.34% |
| All Other Expenses | 0.35% |
| Acquired Fund Fees | 0.03% |
| Gross Expenses | 5.17% |
| Less: Expense Reimbursements | 0.15% |
| Net Expenses* | 5.02% |
| 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.
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 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.
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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