AQR Diversified Arbitrage Fund
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- daily nav $9.68
- change $0.06
- daily return 0.62%
- inception date 1/16/2009
- AUM $520MM
Investment Objective
A Diversified Approach to Arbitrage Opportunities
The Fund seeks to exploit mispricings in markets through a diversified investment approach across merger arbitrage, convertible arbitrage and a suite of event-driven strategies.
Investment Approach
Arbitrage strategies look for two related assets that are trading at different prices, then buy the cheaper one and sell short the more expensive one. The difference between the prices is the expected profit of the trade. AQR's Diversified Arbitrage Fund invests in three primary arbitrage strategies:
• Merger Arbitrage — consists of buying shares of the target company in a proposed merger, and hedging the exposure to the acquirer by shorting the stock of the acquiring company
• Convertible Arbitrage — consists of buying convertible securities and attempting to mitigate the risks associated with the investment by shorting the stock of the issuer
• Event-Driven Investments — involves various corporate actions where very similar assets begin to trade at different prices (e.g., the different share classes of a public company's stock)
Over time, the Fund seeks to balance its exposure equally among the three strategies while maintaining the ability to make tactical tilts based on each strategy's conditional attractiveness.
Why Invest in the AQR Diversified Arbitrage Fund?
Seeks Attractive Risk-Adjusted Returns
Tactical Investment Process
Uncorrelated Source of Return
Strategy Exposures
As of June 30, 2020
| Long Positions as % of Net Assets | Short Positions as % of Net Assets | |
|---|---|---|
| Convertible Arbitrage | 87.96% | -63.25% |
| Event Driven | 36.94% | -11.19% |
| Merger Arbitrage | 28.49% | -10.08% |
| Total | 153.39% | -84.52% |
Sector Exposures
As of June 30, 2020
| % of Long Exposure | |
|---|---|
| Communication Services | 6.68% |
| Consumer Discretionary | 13.13% |
| Consumer Staples | 0.41% |
| Energy | 1.16% |
| Financials | 7.87% |
| Health Care | 16.30% |
| Industrials | 6.79% |
| Information Technology | 19.37% |
| Materials | 1.99% |
| Miscellaneous | 21.49% |
| Real Estate | 1.37% |
| Utilities | 3.45% |
| Total | 100.00% |
Security Types
As of June 30, 2020
| % of Long Exposure | |
|---|---|
| Convertible Bonds | 61.40% |
| Individual Stocks | 31.35% |
| Close-end Funds | 5.50% |
| Debt | 1.75% |
| Total | 100.00% |
Top 5 Long Holdings
As of June 30, 2020
| NOVELLUS SYSTEMS INC LRCX 2.625 05/15/41 CVT | 4.82% |
|---|---|
| TESLA INC TSLA 2.000 05/15/24 CVT 0.0025 12/9999 Bullet Swap | 4.73% |
| CARNIVAL CORP CCLX 5.750 04/01/23 CVT 0.0025 04/2025 Bullet Swap | 2.82% |
| INOVIO PHARMACEUTICALS INC INO 6.500 03/01/24 CVT | 2.04% |
| SQUARE INC SQURE 0.125 03/01/25 CVT 0.0025 04/2025 Bullet Swap | 1.54% |
Top 5 Short Holdings
As of June 30, 2020
| E-Mini S&P 500 Index Future | -6.24% |
|---|---|
| U.S. 5 Yr Treasury Note Futures | -5.09% |
| Lam Research | -4.83% |
| Tesla | -4.46% |
| CDX.NA.HY | -4.40% |
Portfolio Statistics
As of June 30, 2020
| # of long holdings | 267 |
|---|---|
| # of short holdings | 167 |
Annualized Total Returns
As of June 30, 2020
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/16/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 4.73% | 2.48% | 5.52% | 4.91% | 4.41% | 2.66% | 3.20% | 2.05% | 1.97% |
| ICE BofAML US 3M T-Bill | 0.01% | 0.60% | 1.64% | 1.77% | 1.19% | 0.64% | 0.58% |
| AQR Diversified Arbitrage Fund | ICE BofAML US 3M T-Bill | |
|---|---|---|
| QTD | 4.73 % | 0.01 % |
| YTD | 2.48 % | 0.60 % |
| 1YR | 5.52 % | 1.64 % |
| 3YR | 4.91 % | 1.77 % |
| 5YR | 4.41 % | 1.19 % |
| 10YR | 2.66 % | 0.64 % |
| Since Inception 1/16/2009 | 3.2 % | 0.58 % |
| Gross Expense Ratio | 2.05% | |
| Net Expense Ratio* | 1.97% |
As of June 30, 2020
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/16/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 9.80% | 2.48% | 5.52% | 4.91% | 4.41% | 2.66% | 3.20% | 2.05% | 1.97% |
| ICE BofAML US 3M T-Bill | 0.02% | 0.60% | 1.64% | 1.77% | 1.19% | 0.64% | 0.58% |
| AQR Diversified Arbitrage Fund | ICE BofAML US 3M T-Bill | |
|---|---|---|
| QTD | 9.8 % | 0.02 % |
| YTD | 2.48 % | 0.60 % |
| 1YR | 5.52 % | 1.64 % |
| 3YR | 4.91 % | 1.77 % |
| 5YR | 4.41 % | 1.19 % |
| 10YR | 2.66 % | 0.64 % |
| Since Inception 1/16/2009 | 3.2 % | 0.58 % |
| Gross Expense Ratio | 2.05% | |
| Net Expense Ratio* | 1.97% |
Ronen Israel
Principal
- 24 years of experience
- 20 years at AQR
M.A., Columbia University
B.S., B.A.S., University of Pennsylvania
Lars N. Nielsen
Principal
- 20 years of experience
- 20 years at AQR
M.S., B.S., University of Copenhagen
Rocky Bryant
Principal, CNH Partners
- 19 years of experience
- 18 years at AQR
B.S., Massachusetts Institute of Technology
Mark L. Mitchell
Principal, CNH Partners
- 32 years of experience
- 19 years at AQR
Ph.D., M.A., Clemson University
B.B.A., University of Louisiana at Monroe
Todd C. Pulvino
Principal, CNH Partners
- 22 years of experience
- 19 years at AQR
Ph.D., A.M., Harvard University
M.S., California Institute of Technology
B.Sc, University of Wisconsin-Madison
Investment Minimums
| Individual Investors | Not Available |
|---|---|
| Institutional Investors | $100,000 |
| Accounts Offered by Financial Advisors | $50 million or a total of $100 million combined per advisor across all Funds |
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 | 0.78% |
| All Other Expenses | 0.18% |
| Acquired Fund Fees | 0.09% |
| Gross Expenses | 2.05% |
| Less: Fee Waivers and/or Expense Reimbursements | 0.08% |
| Net Expenses* | 1.97% |
| Adjusted Expense Ratio** | 1.19% |
|---|
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:
An investment in the Fund involves risk, including loss of principal. The Fund is not suitable for all investors.
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 use of derivative instruments exposes the Fund to additional risks and transaction costs. The 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.
Please refer to the Prospectus for complete information regarding all risks associated with the Fund. Risk Allocation and attribution are based on estimated data, and may be subject to change.
Definitions:
Volatility: a statistical measure of the dispersion of returns for a given security or index.
Beta: A measure of systematic risk of a portfolio
Sharpe Ratio: a ratio which measures risk-adjusted performance
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.
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.
Performance shown prior to a share class’s inception date reflects the historical performance of the Fund’s Class I shares, calculated using the fees and expenses of the Class N or Class R6 shares, respectively.
© 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 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 Adviser has contractually agreed to reimburse operating expenses of the Funds at least through January 28, 2021 for, Large Cap Defensive Style Fund, International Defensive Style Fund, Emerging Defensive Style Fund, Large Cap Momentum Style Fund, Small Cap Momentum Style Fund, International Momentum Style Fund, TM Large Cap Momentum Style Fund, TM Small Cap Momentum Style Fund, TM International Momentum Style Fund, Large Cap Multi-Style Fund, Small Cap Multi-Style Fund, International Multi-Style Fund, Emerging Multi-Style Fund, TM Large Cap Multi-Style Fund, TM Small Cap Multi-Style Fund, TM International Multi-Style Fund, TM Emerging Multi-Style Fund, Global Equity Fund, International Equity Fund, Core Plus Bond Fund and April 30, 2022 for Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Style Premia Alternative Fund, Style Premia Alternative LV Fund, Volatility Risk, Premium Fund, Multi-Asset Fund, Risk Parity II HV Fund, Risk Parity II MV Fund. For additional details on annual fund operating expenses for each Fund, please see the underlying Funds’ prospectus.
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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