AQR Equity Market Neutral Fund

QMNRX
  • daily nav $9.79
  • change $-0.01
  • daily return -0.10%
  • inception date 10/7/2014
  • AUM $310MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks positive absolute returns.

Seeking Positive Returns Uncorrelated to Equity Markets

The Equity Market Neutral Fund seeks to generate positive returns without exposing investors to the risks of equity markets by buying, or going long, stocks expected to perform well and selling short stocks expected to perform relatively poorly.

Investment Approach

The Fund seeks to deliver positive absolute returns by taking long and short positions in equity and equity-related instruments that are deemed to be relatively attractive or unattractive, respectively, based on AQR's investment models.

The Fund is designed to be market neutral; positions in the portfolio are chosen so that the long side exposure is offset by the short side. The portfolio is constructed based on AQR's global stock selection model, employing value, momentum, quality, and other proprietary factors to indicate which industries, sectors and companies are conditionally attractive or unattractive.

Why Invest in the AQR Equity Market Neutral Fund?

Seeks Attractive Risk-Adjusted Returns
The Fund targets the spread between long and short positions, while remaining insulated from the large swings of equity markets. It seeks to deliver positive returns at a lower volatility, resulting in compelling risk-adjusted returns for investors.
Opportunity to Perform in Rising and Falling Markets
The Fund seeks capital appreciation regardless of overall market direction. Over any short-term period, neither the direction nor the magnitude of the stock market tends to impact the strategy.
Greater Portfolio Diversification
The Fund invests in stocks across industries and geographic regions. It may provide additional diversification benefits such as lowering the overall portfolio’s volatility, reducing drawdowns and improving risk-adjusted returns.
  Portfolio Characteristics

Country Exposures

As of September 30, 2019

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Benchmark Short
Australia 2.47% -2.50%
Belgium 2.07% -1.35%
Canada 5.51% -5.06%
Denmark 4.08% -3.04%
Finland 2.12% -0.89%
France 8.01% -5.89%
Germany 9.02% -8.29%
Hong Kong 1.95% -1.91%
Italy 7.35% -3.96%
Japan 30.43% -30.93%
Netherlands 4.69% -2.89%
Norway 1.57% -1.54%
Singapore 0.70% -0.51%
Spain 6.12% -3.86%
Sweden 3.38% -2.36%
Switzerland 4.70% -4.54%
United Kingdom 11.04% -10.89%
United States 84.68% -81.10%
Total 189.87% -171.53%

Top 5 Long Holdings

As of September 30, 2019

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Ahold Delhaize 1.53%
Japan Airlines 1.52%
Endesa 1.36%
Peugeot 1.34%
Ageas 1.25%

Top 5 Short Holdings

As of September 30, 2019

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Deutsche Bank -1.34%
Cellnex Telecom -1.32%
Thyssenkrupp -1.29%
Charter Commns -1.22%
Sempra USA -1.21%

Sector Exposures

As of September 30, 2019

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Net Long Short
Communication Services 0.06% 11.31% -11.26%
Consumer Discretionary 0.04% 24.26% -24.22%
Consumer Staples 9.40% 17.18% -7.79%
Energy -8.11% 5.02% -13.13%
Financials 1.90% 21.84% -19.95%
Health Care -1.36% 19.95% -21.32%
Industrials 9.74% 35.56% -25.83%
Information Technology 8.62% 25.20% -16.58%
Materials -5.19% 12.82% -18.01%
Real Estate -3.43% 1.33% -4.77%
Utilities 6.70% 15.38% -8.69%
Total 18.34% 189.87% -171.53%

Portfolio Statistics

As of September 30, 2019

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# of long holdings 782
# of short holdings 743
Long Exposure (% of NAV) 189.87%
Short Exposure (% of NAV) 171.53%
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 10/7/2014 Gross Expense Ratio Net Expense Ratio*
AQR Equity Market Neutral Fund -0.92% -9.56% -6.25% -5.00% 1.47% 2.17% 1.97% 1.97%
ICE BofAML US 3M T-Bill 0.12% 2.13% 2.32% 1.63% 1.05% 1.02%
AQR Equity Market Neutral Fund ICE BofAML US 3M T-Bill
QTD -0.92 % 0.12 %
YTD -9.56 % 2.13 %
1YR -6.25 % 2.32 %
3YR -5 % 1.63 %
5YR 1.47 % 1.05 %
Since Inception 10/7/2014 2.17 % 1.02 %
Gross Expense Ratio 1.97%
Net Expense Ratio* 1.97%

As of September 30, 2019

QTD YTD 1YR 3YR Since Inception 10/7/2014 Gross Expense Ratio Net Expense Ratio*
AQR Equity Market Neutral Fund -0.30% -8.73% -10.36% -3.85% 2.43% 1.97% 1.97%
ICE BofAML US 3M T-Bill 0.57% 1.81% 2.39% 1.54% 0.99%
AQR Equity Market Neutral Fund ICE BofAML US 3M T-Bill
QTD -0.3 % 0.57 %
YTD -8.73 % 1.81 %
1YR -10.36 % 2.39 %
3YR -3.85 % 1.54 %
Since Inception 10/7/2014 2.43 % 0.99 %
Gross Expense Ratio 1.97%
Net Expense Ratio* 1.97%
  Managers

Andrea Frazzini

Principal

  • 14 years of experience
  • 11 years at AQR

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

Jacques A. Friedman

Principal

  • 23 years of experience
  • 21 years at AQR

M.S., University of Washington

B.S., Brown University

Michele L. Aghassi

Principal

  • 21 years of experience
  • 14 years at AQR

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Ronen Israel

Principal

  • 23 years of experience
  • 20 years at AQR

M.A., Columbia University

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

  Fees & Minimums

Investment Minimums

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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

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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 0.75%
     All Other Expenses 0.08%
Acquired Fund Fees 0.04%
Gross Expenses 1.97%
Less: Fee Waivers and/or Expense Reimbursements 0.00%
Net Expenses* 1.97%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio 1.22%
  Documents

Fund Literature

Fund Reporting

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:
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
Foreign and Emerging Market investing involves special risks such as currency fluctuations and political uncertainty. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. 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.  

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 United States or abroad.

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, 2020 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, Large Cap Relaxed Constraint Equity Fund, International Relaxed Constraint Equity Fund, Emerging Relaxed Constraint Equity Fund, Global Equity Fund, International Equity Fund, Core Plus Bond Fund and April 30, 2020 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.
©2019 AQR Funds. All rights reserved.