AQR Equity Market Neutral Fund

QMNRX
  • daily nav $10.69
  • change $0.04
  • daily return 0.38%
  • inception date 10/7/2014
  • AUM $1144MM

As of February 18, 2025

  About the Fund

Investment Objective

Seeks positive absolute returns.

Fund Overview

The Fund applies a systematic process to go long stocks the Adviser expects to outperform and short stocks the Adviser expects to underperform, resulting in a portfolio with little or no exposure to general equity market movements. Views are derived from hundreds of investment signals across stocks and sectors.

Why Invest in the AQR Equity Market Neutral Fund?

Seeks Positive Absolute Returns

Seeks to generate positive returns regardless of market direction by going long attractive stocks and short unattractive stocks.

Global Approach

Invests long and short across hundreds of companies globally, using a diverse array of investment signals.

Portfolio Diversification

The strategy is designed to have low to zero correlation to the returns of the equity markets in which the Fund invests.

  Portfolio Characteristics

Country Exposures

As of December 31, 2024

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Benchmark Short
Australia 5.05% -5.01%
Belgium 0.50% -0.42%
Canada 5.12% -4.07%
Denmark 2.37% -2.19%
Finland 1.38% -0.69%
France 5.35% -5.64%
Germany 4.86% -3.83%
Hong Kong 0.56% 0.00%
Italy 4.13% -2.75%
Japan 27.43% -25.07%
Netherlands 2.76% -2.66%
Norway 0.82% -0.52%
Singapore 0.67% -0.68%
Spain 1.92% -1.93%
Sweden 2.47% -2.46%
Switzerland 4.38% -4.37%
United Kingdom 9.33% -8.53%
United States 105.47% -101.21%
Total 184.59% -172.03%

Top 5 Long Equity Holdings

As of December 31, 2024

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Apple 1.39%
Centene 1.05%
Fortinet 0.96%
3M 0.95%
Xcel Energy 0.91%

Top 5 Short Equity Holdings

As of December 31, 2024

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EssilorLuxottica -1.11%
Sempra USA -1.10%
Honeywell Intl -1.05%
Toyota -1.02%
Quanta Services -0.91%

Sector Exposures

As of December 31, 2024

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Net Long Short
Communication Services 2.82% 9.45% -6.63%
Consumer Discretionary -1.39% 26.29% -27.68%
Consumer Staples -3.78% 10.58% -14.36%
Energy 1.79% 7.22% -5.43%
Financials 12.04% 34.90% -22.86%
Health Care 1.29% 18.44% -17.15%
Industrials 3.11% 34.43% -31.32%
Information Technology 4.91% 23.19% -18.28%
Materials -0.97% 11.06% -12.03%
Real Estate -4.40% 2.03% -6.43%
Utilities -2.85% 7.02% -9.86%
Total 12.56% 184.59% -172.03%

Portfolio Statistics

As of December 31, 2024

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# of long holdings 834
# of short holdings 791
Long Exposure (% of NAV) 184.59%
Short Exposure (% of NAV) 172.03%

All Fund statistics are subject to change and should not be considered a recommendation to buy or sell securities.
*Does not include futures exposures.

  Performance

Annualized Total Returns

As of January 31, 2025

MTD YTD 1YR 3YR 5YR 10YR Since Inception 10/7/2014 Gross Expense Ratio Net Expense Ratio*
AQR Equity Market Neutral Fund 3.18% 3.18% 22.57% 20.22% 13.08% 6.30% 6.99% 5.02% 4.93%
ICE BofA US 3M T-Bill Index 0.37% 0.37% 5.19% 4.02% 2.51% 1.80% 1.75%
AQR Equity Market Neutral Fund ICE BofA US 3M T-Bill Index
MTD 3.18% 0.37%
YTD 3.18% 0.37%
1YR 22.57% 5.19%
3YR 20.22% 4.02%
5YR 13.08% 2.51%
10YR 6.30% 1.80%
Since Inception 10/7/2014 6.99% 1.75%
Gross Expense Ratio 5.02%
Net Expense Ratio* 4.93%

As of December 31, 2024

QTD YTD 1YR 3YR 5YR 10YR Since Inception 10/7/2014 Gross Expense Ratio Net Expense Ratio*
AQR Equity Market Neutral Fund 7.46% 25.49% 25.49% 23.24% 12.15% 6.27% 6.72% 5.02% 4.93%
ICE BofA US 3M T-Bill Index 1.17% 5.25% 5.25% 3.89% 2.46% 1.77% 1.73%
AQR Equity Market Neutral Fund ICE BofA US 3M T-Bill Index
QTD 7.46% 1.17%
YTD 25.49% 5.25%
1YR 25.49% 5.25%
3YR 23.24% 3.89%
5YR 12.15% 2.46%
10YR 6.27% 1.77%
Since Inception 10/7/2014 6.72% 1.73%
Gross Expense Ratio 5.02%
Net Expense Ratio* 4.93%

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.

  Managers
Headshot of Cliff Asness

Cliff Asness

Managing & Founding Principal

Ph.D., M.B.A., University of Chicago

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

Headshot of Michele Aghassi

Michele L. Aghassi, Ph.D.

Principal

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Headshot of Andrea Frazzini

Andrea Frazzini

Principal

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

Headshot of John Huss

John J. Huss

Principal

S.B., Massachusetts Institute of Technology

Headshot of Laura Serban

Laura Serban

A.B., M.S., Ph.D., Harvard University

  Fees & Minimums

Investment Minimums

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Individual Investors Not Available
Institutional Investors $100,000
Accounts Offered by Financial Advisors $50 million or $100 million aggregate investment across all series of the Trust

Reductions apply to certain eligibility groups. See “Investing With the AQR Funds” in the Fund’s prospectus.

Shareholder Fees

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Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

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Management Fee 1.10%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 3.69%
     All Other Expenses 0.19%
Acquired Fund Fees 0.04%
Gross Expenses 5.02%
Less: Expense Reimbursements 0.09%
Net Expenses* 4.93%

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 0.10% for Class R6 Shares at least through April 30, 2025. "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*,** 1.24%

*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. Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. Currency risk is the risk that changes in currency exchange rates will negatively affect securities denominated in, and/or receiving revenues in, foreign currencies. 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. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. 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. 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. 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.

Beta is a measure of how sensitive a Fund’s return is to changes in a benchmark index. A beta of greater than 1 indicates a higher sensitivity to benchmark moves, and a beta less than 1 indicates lower sensitivity.

Volatility is a statistical measure of the variation in returns for a given security or index.

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 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.

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.