AQR Macro Opportunities Fund

QGMNX
  • daily nav $10.31
  • change $0.04
  • daily return 0.39%
  • inception date 4/8/2014
  • AUM $137MM

As of April 18, 2024

  About the Fund

Investment Objective

Seeks positive absolute returns.

Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.

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  Macro Opportunities 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 Macro Opportunities 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 Macro Opportunities 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, deep value, price momentum, carry, and defensive. 
  Portfolio Characteristics

Strategy Exposures

As of March 31, 2024

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Long Positions as % of Net Assets Short Positions as % of Net Assets
Fixed Income Markets 514.12% 522.42%
Currencies 127.25% 128.75%
Equity Markets 94.12% 80.11%
Commodities 56.43% 59.17%
Total 791.92% 790.46%

Risk Allocation

As of March 31, 2024

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% of Risk Allocation
Commodities 31.36%
Fixed Income 26.76%
Currencies 21.37%
Equities 20.51%
Total 100.00%

Portfolio Statistics

As of March 31, 2024

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# of short holdings 109
# of long holdings 131

All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities. Please see disclosure section for a glossary of industry terms.

AQR Macro Opportunities Fund: Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Funds that emphasize investments in mid-cap companies generally will experience greater price volatility. Commodities and futures generally are volatile and involve a high degree of risk. 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.

  Performance

Annualized Total Returns

As of March 29, 2024

MTD YTD 1YR 3YR 5YR Since Inception 4/8/2014 Gross Expense Ratio Net Expense Ratio*
AQR Macro Opportunities Fund 4.06% 6.11% 8.18% 7.74% 6.20% 3.67% 2.31% 1.96%
ICE BofA US 3M T-Bill Index 0.45% 1.29% 5.24% 2.58% 2.02% 1.38%
AQR Macro Opportunities Fund ICE BofA US 3M T-Bill Index
MTD 4.06% 0.45%
YTD 6.11% 1.29%
1YR 8.18% 5.24%
3YR 7.74% 2.58%
5YR 6.20% 2.02%
Since Inception 4/8/2014 3.67% 1.38%
Gross Expense Ratio 2.31%
Net Expense Ratio* 1.96%

As of March 29, 2024

QTD YTD 1YR 3YR 5YR Since Inception 4/8/2014 Gross Expense Ratio Net Expense Ratio*
AQR Macro Opportunities Fund 6.11% 6.11% 8.18% 7.74% 6.20% 3.67% 2.31% 1.96%
ICE BofA US 3M T-Bill Index 1.29% 1.29% 5.24% 2.58% 2.02% 1.38%
AQR Macro Opportunities Fund ICE BofA US 3M T-Bill Index
QTD 6.11% 1.29%
YTD 6.11% 1.29%
1YR 8.18% 5.24%
3YR 7.74% 2.58%
5YR 6.20% 2.02%
Since Inception 4/8/2014 3.67% 1.38%
Gross Expense Ratio 2.31%
Net Expense Ratio* 1.96%

The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2024. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

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.

ICE Bank of America Merrill Lynch 3 Month T-Bill Index: An index that tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months. Indexes are unmanaged and one cannot invest directly in an index.

AQR Macro Opportunities Fund: Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Funds that emphasize investments in mid-cap companies generally will experience greater price volatility. Commodities and futures generally are volatile and involve a high degree of risk. 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.

  Managers

Jordan Brooks

Principal

  • 15 years of experience
  • 15 years at AQR

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

B.A., Boston College

Jonathan Fader

  • 17 years of experience
  • 8 years at AQR

B.S., Brown University

John M. Liew

Founding Principal

  • 31 years of experience
  • 26 years at AQR

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

B.A., University of Chicago

Yao Hua Ooi

Principal

  • 19 years of experience
  • 19 years at AQR

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

Erik Stamelos

  • 20 years of experience
  • 9 years at AQR

A.B., Harvard University

  Fees & Minimums

Investment Minimums

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Individual Investors $2,500
Institutional Investors None
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 0.48%
     All Other Expenses 0.55%
Acquired Fund Fees 0.03%
Gross Expenses 2.31%
Less: Expense Reimbursements 0.35%
Net Expenses* 1.96%

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 0.20% for Class N Shares at least through April 30, 2024. "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.

AQR Macro Opportunities Fund: Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Funds that emphasize investments in mid-cap companies generally will experience greater price volatility. Commodities and futures generally are volatile and involve a high degree of risk. 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.

Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 1.48%

**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowing and repurchase agreements and dividend expenses from investments on short sales, incurred directly by the Fund, none of which are paid to the Advisor.

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.

 

 

© 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.

Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.

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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