AQR Global Macro Fund

QGMNX
  • daily nav $9.59
  • change $0.02
  • daily return 0.21%
  • inception date 4/8/2014
  • AUM $30MM

As of June 18, 2021

  About the Fund

Investment Objective

Seeks positive absolute returns.

Investing with Discipline around the Globe

The Fund aims to deliver returns that are uncorrelated to stocks and bonds. The Fund positions across macro asset classes (currencies, commodities, equities, fixed income) on the basis of macroeconomic trends, seeking to capitalize on the markets’ tendency to under-react to changes in fundamentals. 

Investment Approach

The Fund pursues a Global Macro investment strategy, trading in over 100 individual markets across approximately 30 countries. The Fund positions across asset classes, encompassing currencies, commodities, equities, and fixed income. The Fund is market neutral over the long term, but can take directional views over the short term. 

The Fund tends to buy assets for which macroeconomic fundamentals are improving, either on a relative or absolute basis, and short assets for which macroeconomic fundamentals are deteriorating. Macroeconomic trends are evaluated across multiple dimensions, utilizing both quantitative and discretionary inputs.

Why Invest in the AQR Global Macro Fund?

Greater Portfolio Diversification
The Fund invests in a wide spectrum of assets across multiple geographies based on detailed evaluation of trends in economic fundamentals. The Fund seeks to generate returns that are uncorrelated to traditional asset classes. This can increase the diversification of an investor's portfolio, reducing the need to rely on rising stock prices to generate returns.
Opportunity to Outperform in Bear Markets
Major market drawdowns tend to be preceded by deteriorating economic conditions. Because the Global Macro Fund carefully monitors macroeconomic fundamentals, it tends to be strategically positioned during equity market drawdowns.
Integrated Investment Approach
The Fund's investment process combines a deeply-researched suite of quantitative signals with discretionary views informed by qualitative information (such as political news and central bank communications). Macroeconomic indicators measure trends in growth, inflation, monetary policy, international trade and macro sentiment. The Strategy also incorporates additional quantitative signals, including measures of value, price momentum, carry, and defensive. 
  Portfolio Characteristics

Strategy Exposures

As of March 31, 2021

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Long Positions as % of Net Assets Short Positions as % of Net Assets
Fixed Income Markets 240.03% 521.51%
Currencies 82.15% 100.12%
Equity Markets 90.59% 72.26%
Commodities 12.35% 3.07%
Total 425.12% 696.96%
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR Since Inception 4/8/2014 Gross Expense Ratio Net Expense Ratio*
AQR Global Macro Fund -0.92% 2.23% 7.46% 3.21% 3.18% 1.75% 2.36% 1.49%
ICE BofAML US 3M T-Bill 0.00% 0.03% 0.11% 1.40% 1.18% -
AQR Global Macro Fund ICE BofAML US 3M T-Bill
MTD -0.92% 0.00%
YTD 2.23% 0.03%
1YR 7.46% 0.11%
3YR 3.21% 1.40%
5YR 3.18% 1.18%
Since Inception 4/8/2014 1.75% 0.85%
Gross Expense Ratio 2.36%
Net Expense Ratio* 1.49%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR Since Inception 4/8/2014 Gross Expense Ratio Net Expense Ratio*
AQR Global Macro Fund 3.50% 3.50% 9.40% 3.60% 2.67% 1.97% 2.36% 1.49%
ICE BofAML US 3M T-Bill 0.02% 0.02% 0.12% 1.50% 1.19% -
AQR Global Macro Fund ICE BofAML US 3M T-Bill
QTD 3.50% 0.02%
YTD 3.50% 0.02%
1YR 9.40% 0.12%
3YR 3.60% 1.50%
5YR 2.67% 1.19%
Since Inception 4/8/2014 1.97% 0.87%
Gross Expense Ratio 2.36%
Net Expense Ratio* 1.49%
  Managers

John M. Liew

Founding Principal

  • 28 years of experience
  • 23 years at AQR

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

B.A., University of Chicago

Jordan Brooks

Principal

  • 12 years of experience
  • 12 years at AQR

Ph.D., M.A., New York University

B.A., Boston College

Michael Katz

Principal

  • 13 years of experience
  • 13 years at AQR

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

B.A., Tel Aviv University

Yao Hua Ooi

Principal

  • 16 years of experience
  • 16 years at AQR

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

Ashwin Thapar

Principal

  • 12 years of experience
  • 12 years at AQR

B.A. University of Pennsylvania

Jonathan Fader

  • 14 years of experience
  • 6 years at AQR

B.S., Brown University

  Fees & Minimums

Investment Minimums

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Institutional Investors None
Individual Investors $1 Million
Accounts Offered by Financial Advisors None

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 1.00%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.01%
     All Other Expenses 1.07%
Acquired Fund Fees 0.03%
Gross Expenses 2.36%
Less: Fee Waivers and/or Expense Reimbursements 0.87%
Net Expenses* 1.49%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 1.48%

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:
The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility. 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. Risk allocation and attribution are based on estimated data, and may be subject to change. Diversification does not eliminate risk. This Fund is not suitable for all investors.  There are risks involved with investing including the possible loss of principal.

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. Risk allocation and attribution are based on estimated data, and may be subject to change. 

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.