AQR Diversified Arbitrage Fund
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- daily nav $12.24
- change $-0.01
- daily return -0.08%
- inception date 9/2/2014
- AUM $1044MM
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
The Fund seeks to provide a steady and independent source of returns to a portfolio of stocks and bonds, aiming to maintain strong performance over the long term.
Potential to Perform in Up and Down Markets
Portfolio Diversification
Strategy Exposures
As of March 31, 2021
| Long Positions as % of Net Assets | Short Positions as % of Net Assets | |
|---|---|---|
| Convertible Arbitrage | 85.42% | -57.75% |
| Event Driven | 52.43% | -8.75% |
| Merger Arbitrage | 43.46% | -17.64% |
| Total | 181.31% | -84.14% |
Sector Exposures
As of March 31, 2021
| % of Long Exposure | |
|---|---|
| Communication Services | 6.87% |
| Consumer Discretionary | 9.65% |
| Consumer Staples | 0.97% |
| Energy | 1.89% |
| Financials | 5.02% |
| Health Care | 14.92% |
| Industrials | 9.33% |
| Information Technology | 23.15% |
| Materials | 1.47% |
| Miscellaneous | 24.31% |
| Real Estate | 0.95% |
| Utilities | 1.45% |
| Total | 100.00% |
Security Types
As of March 31, 2021
| % of Long Exposure | |
|---|---|
| Individual Stocks | 49.37% |
| Convertible Bonds | 49.12% |
| Close-end Funds | 1.12% |
| Debt | 0.38% |
| Total | 100.00% |
Top 5 Long Holdings
As of March 31, 2021
| NOVELLUS SYSTEMS INC LRCX 2.625 05/15/41 CVT | 4.38% |
|---|---|
| SOUTHWEST AIRLINES CO LUV 1.250 05/01/25 CVT | 2.97% |
| CARNIVAL CORP CCLX 5.750 04/01/23 CVT | 2.40% |
| AMERICAN AIRLINES GROUP INC AALX 6.500 07/01/25 CVT | 2.03% |
| Cantel Medical | 1.74% |
Top 5 Short Holdings
As of March 31, 2021
| E-Mini S&P 500 Index Future | -6.12% |
|---|---|
| Lam Research | -4.38% |
| U.S. 5 Yr Treasury Note Futures | -3.82% |
| CAD vs USD Forward | -2.38% |
| Southwest | -2.24% |
Portfolio Statistics
As of March 31, 2021
| # of long holdings | 348 |
|---|---|
| # of short holdings | 167 |
Annualized Total Returns
As of May 31, 2021
| MTD | YTD | 1YR | 3YR | 5YR | Since Inception 9/2/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | -0.33% | 6.12% | 35.81% | 13.18% | 10.93% | 6.32% | 2.08% | 2.02% |
| ICE BofAML US 3M T-Bill | 0.00% | 0.03% | 0.11% | 1.40% | 1.18% | - |
| AQR Diversified Arbitrage Fund | ICE BofAML US 3M T-Bill | |
|---|---|---|
| MTD | -0.33% | 0.00% |
| YTD | 6.12% | 0.03% |
| 1YR | 35.81% | 0.11% |
| 3YR | 13.18% | 1.40% |
| 5YR | 10.93% | 1.18% |
| Since Inception 9/2/2014 | 6.32% | 0.54% |
| Gross Expense Ratio | 2.08% | |
| Net Expense Ratio* | 2.02% |
As of March 31, 2021
| QTD | YTD | 1YR | 3YR | 5YR | Since Inception 9/2/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 5.59% | 5.59% | 41.69% | 13.40% | 11.11% | 6.41% | 2.08% | 2.02% |
| ICE BofAML US 3M T-Bill | 0.02% | 0.02% | 0.12% | 1.50% | 1.19% | - |
| AQR Diversified Arbitrage Fund | ICE BofAML US 3M T-Bill | |
|---|---|---|
| QTD | 5.59% | 0.02% |
| YTD | 5.59% | 0.02% |
| 1YR | 41.69% | 0.12% |
| 3YR | 13.40% | 1.50% |
| 5YR | 11.11% | 1.19% |
| Since Inception 9/2/2014 | 6.41% | 0.55% |
| Gross Expense Ratio | 2.08% | |
| Net Expense Ratio* | 2.02% |
Ronen Israel
Principal
- 25 years of experience
- 21 years at AQR
M.A., Columbia University
B.S., B.A.S., University of Pennsylvania
Lars N. Nielsen
Principal
- 21 years of experience
- 21 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
- 33 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
- 23 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
| Institutional Investors | $100,000 |
|---|---|
| Accounts Offered by Financial Advisors | $50 million or a total of $100 million combined per advisor across all Funds |
| Individual Investors | Not Available |
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 | 0.84% |
| All Other Expenses | 0.16% |
| Acquired Fund Fees | 0.08% |
| Gross Expenses | 2.08% |
| Less: Fee Waivers and/or Expense Reimbursements | 0.06% |
| Net Expenses* | 2.02% |
| Adjusted Expense Ratio** | 1.18% |
|---|
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.
Investment in any of the funds described on this website carries substantial risk, including the possible loss of principal. There is no guarantee that the investment objectives of the funds will be achieved and returns may vary significantly over time. Investment in the funds described on this website is not suitable for all investors. Not all funds or share classes are available to all investors.
Fund offering documents contain risk warnings that are specific to each fund. Investors should only invest in a fund once they have thoroughly reviewed the prospectus and Key Investor Information Document (“KIID”) for the fund and carefully considered the relevant investment objectives, risks, charges and fees. Investors may wish to consult an independent financial advisor for personal and specific investment advice before investing.
Umbrella Fund:
The Fund is a sub-fund of AQR UCITS Funds, a Luxembourg based UCITS of which the management company is FundRock Management Company S.A.
The information contained on this website is for informational purposes only and does not constitute an offer or invitation to buy, sell or otherwise transact in any security. The information on this site is directed only at persons or entities in any jurisdiction or country where such access to information contained on this website and use of such information is not contrary to local law or regulation. Accordingly, all persons who access this website are required to inform themselves of and to comply with any such restrictions. The prospectus, KIID and the latest periodic reports for each fund are available free of charge.
Past performance does not guarantee future results.
AQR Capital Management (Europe) LLP, a U.K. limited liability partnership, is authorized by the U.K. Financial Conduct Authority (“FCA”) for advising on investments (except on Pension Transfers and Pension Opt Outs), arranging (bringing about) deals in investments, dealing in investments as agent, managing a UCITS, managing an unauthorized AIF and managing investments. This material has been approved to satisfy UK FCA COBS 4.
The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, insolvency and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Commodity prices react, among other things, to economic factors such as changing supply and demand relationships, weather conditions and other natural events, all of which may affect your investment.
The Fund is exposed to the currency markets which may be highly volatile. Large price swings can occur in such markets within very short periods and may result in your investment suffering a loss.
The Fund may be exposed to liquidity risk where, due to a lack of marketability, the Fund’s investments cannot be bought or sold quickly enough to prevent or minimize a loss.
The Fund is exposed to concentration risk as it may have increased exposure to a particular asset, reference rate or index. A fall in value of the asset, reference rate or index can result in a greater loss to the Fund which may be more than the amount borrowed or invested.
Your investment in the Fund is not guaranteed and is at risk. You may lose some or all of your investment.
The Fund relies upon the performance of the investment manager of the Fund. If the investment manager performs poorly the value of your investment is likely to be adversely affected.
More information in relation to risks in general may be found in the “Risk Factors” section of the prospectus.