AQR Diversified Arbitrage Fund
Quick Links
- daily nav $12.16
- change $-0.01
- daily return -0.08%
- inception date 1/15/2009
- AUM $2045MM
Investment Objective
Fund Overview
Arbitrage strategies seek to benefit from mispricing in related securities. The Fund aims to have exposure across merger arbitrage, convertible arbitrage, and corporate event-driven strategies and tilt toward the most attractive opportunities.
Why Invest in the AQR Diversified Arbitrage Fund?
Exposure to Multiple Strategies in a Single Fund
Provides diversified exposure to merger arbitrage, convertible arbitrage, and a range of corporate event-driven strategies that have low correlation to one another.
Ability to Invest Across the Corporate Lifecycle
Fund seeks to capitalize on opportunities from market dislocations induced by corporate events such as initial public offerings, business financings, and restructurings.
Low Sensitivity to Traditional Risks
Seeks to provide a steady source of returns with a low correlation to the overall equity market.
Strategy Exposures
As of September 30, 2024
| Long Positions as % of Net Assets | Short Positions as % of Net Assets | |
|---|---|---|
| Convertible Arbitrage | 65.28% | -34.66% |
| Merger Arbitrage | 51.94% | -16.27% |
| Event Driven | 17.90% | -6.31% |
| Total | 135.12% | -57.25% |
Sector Exposures
As of September 30, 2024
| % of Long Exposure | |
|---|---|
| Communication Services | 3.91% |
| Consumer Discretionary | 12.73% |
| Consumer Staples | 3.77% |
| Energy | 8.79% |
| Financials | 8.61% |
| Health Care | 10.76% |
| Industrials | 6.24% |
| Information Technology | 22.77% |
| Materials | 2.64% |
| Miscellaneous | 12.92% |
| Real Estate | 0.72% |
| Utilities | 6.14% |
| Total | 100.00% |
Security Types
As of September 30, 2024
| % of Long Exposure | |
|---|---|
| Convertible Bonds | 46.34% |
| Individual Stocks | 45.86% |
| Debt | 4.75% |
| Close-end Funds | 3.06% |
| Total | 100.00% |
Top 5 Long Equity Holdings
As of September 30, 2024
| Taiwan Semiconductor Manufacturing Co Ltd | 2.60% |
|---|---|
| Southwestern Energy Co | 2.58% |
| Carnival Corp | 2.35% |
| Albertsons Companies Inc | 2.14% |
| Hess Corp | 2.12% |
Top 5 Short Equity Holdings
As of September 30, 2024
| Taiwan Semiconductor Manufacturing Co Ltd | -2.98% |
|---|---|
| Expand Energy Corp | -2.59% |
| Chevron Corp | -2.36% |
| Cyberark Software Ltd | -2.03% |
| Schlumberger NV | -1.96% |
Portfolio Statistics
As of September 30, 2024
| # of long holdings | 218 |
|---|---|
| # of short holdings | 133 |
All Fund statistics are subject to change and should not be considered a recommendation to buy or sell securities.
*Does not include futures exposures.
Annualized Total Returns
As of December 31, 2024
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/15/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 0.57% | 3.19% | 3.19% | 1.41% | 6.77% | 5.26% | 4.17% | 1.53% | 1.53% |
| ICE BofA US 3M T-Bill Index | 0.40% | 5.25% | 5.25% | 3.89% | 2.46% | 1.77% | 1.14% |
| AQR Diversified Arbitrage Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| MTD | 0.57% | 0.40% |
| YTD | 3.19% | 5.25% |
| 1YR | 3.19% | 5.25% |
| 3YR | 1.41% | 3.89% |
| 5YR | 6.77% | 2.46% |
| 10YR | 5.26% | 1.77% |
| Since Inception 1/15/2009 | 4.17% | 1.14% |
| Gross Expense Ratio | 1.53% | |
| Net Expense Ratio* | 1.53% |
As of December 31, 2024
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/15/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | -0.65% | 3.19% | 3.19% | 1.41% | 6.77% | 5.26% | 4.17% | 1.53% | 1.53% |
| ICE BofA US 3M T-Bill Index | 1.17% | 5.25% | 5.25% | 3.89% | 2.46% | 1.77% | 1.14% |
| AQR Diversified Arbitrage Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| QTD | -0.65% | 1.17% |
| YTD | 3.19% | 5.25% |
| 1YR | 3.19% | 5.25% |
| 3YR | 1.41% | 3.89% |
| 5YR | 6.77% | 2.46% |
| 10YR | 5.26% | 1.77% |
| Since Inception 1/15/2009 | 4.17% | 1.14% |
| Gross Expense Ratio | 1.53% | |
| Net Expense Ratio* | 1.53% |
The performance data quoted represents past performance. Past performance does not guarantee future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
Source: AQR, JP Morgan. All returns for periods longer than a year are annualized. Benchmark is represented by ICE BofA U.S. 3-Month Treasury Bill Index. Indices are unmanaged, and one cannot invest in an index. See Disclosures for definitions.
*AQR Capital Management, LLC ("AQR" or 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.
Jordan Brooks, Ph.D.
Principal
Ph.D., M.A., New York University
B.A. Boston College
Rocky Bryant
Principal AQR Arbitrage
B.S., Massachusetts Institute of Technology
Mark L. Mitchell, Ph.D.
Principal AQR Arbitrage
Ph.D., M.A., Clemson University
B.B.A., University of Louisiana at Monroe
Todd C. Pulvino, Ph.D.
Principal AQR Arbitrage
Ph.D., A.M., Harvard University
M.S., California Institute of Technology
B.Sc, University of Wisconsin-Madison
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 | 1.00% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 0.13% |
| All Other Expenses | 0.20% |
| Acquired Fund Fees | 0.20% |
| Gross Expenses | 1.53% |
| Less: Expense Reimbursements | 0.00% |
| Net Expenses* | 1.53% |
| Adjusted Expense Ratio*,** | 1.40% |
|---|
*AQR Capital Management, LLC ("AQR" or 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.
**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowings and repurchase agreements and dividend expense from investments on short sales, incurred directly by the Fund.
Principal Risks:
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 U.S. or abroad. The Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. The Fund’s investments in distressed securities may present a substantial risk of default or may be in default at the time of investment. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Interest rate risk is the risk that prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase. The use of derivatives, including swaps and forward and futures contracts, exposes the Fund to additional risks including increased volatility, lack of liquidity, and increased transaction costs. The Fund from time to time employs various hedging techniques. The success of the Fund’s hedging strategy will be subject to the investment adviser's ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged. The Fund is 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 Fund.
The Fund is not suitable for all investors. An investor considering the Fund should be able to tolerate potentially wide price fluctuations. There are risks involved with investing including the possible loss of principal. Past performance does not guarantee future results. Diversification does not eliminate the risk of experiencing investment losses. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person without AQR’s written consent.
Definitions:
The ICE BofA U.S. 3-Month Treasury Bill Index tracks the performance of the U.S. dollar-denominated U.S. Treasury Bills issued in the domestic market with a remaining term to final maturity of less than 3 months.
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.
© 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.
©2025 AQR Funds. All rights reserved.