AQR Multi-Strategy Alternative Fund

ASANX
  • daily nav $6.94
  • change $0.03
  • daily return 0.43%
  • inception date 7/18/2011
  • AUM $353MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks positive absolute returns.

A Diversified Approach to Alternative Investing

The Fund aims to deliver attractive risk-adjusted returns with low correlation to traditional stock/bond portfolios by investing in a broad and diversified range of classic hedge fund premia strategies.

Investment Approach

The Fund implements a risk-balanced exposure to nine broad hedge fund strategies as described below and aims to be market neutral on average.

Hedge fund premia are systematic and economically intuitive strategies based on persistent sources of return and backed by large amount of empirical evidence. The Fund focuses on such strategies that are liquid and market neutral on average, including stock selection strategies, macro strategies and arbitrage strategies:
• Stock selection strategies: Equity Market Neutral, Long/Short Equity and Dedicated Short Bias
• Macro strategies: Global Macro, Managed Futures and Emerging Markets
• Arbitrage strategies: Event Driven, Convertible and Volatility Arbitrage, and Fixed Income Relative Value

By implementing a balanced strategic risk allocation across the different hedge fund strategies, the Fund aims to benefit from their diversification potential, while also making modest short-term tactical tilts when strategies are deemed conditional attractive or unattractive.

An integrated portfolio of hedge fund premia can provide important diversification benefit to traditional portfolios and can serve as a core alternative allocation.

Why Invest in the AQR Multi-Strategy Alternative Fund?

Seeks Attractive Risk-Adjusted Returns
The Fund combines nine broad hedge fund strategies across a range of liquid asset groups. By implementing a risk-balanced exposure to these largely unrelated returns sources, the Fund aims to benefit from their diversification potential and deliver attractive risk-adjusted returns.
Opportunity To Perform In Rising And Falling Markets
By investing long and short, the Fund seeks to be market neutral with low correlation to equity and bond markets, and aims to provide positive absolute returns in both rising and falling markets.
Core Allocation To Classic Hedge Fund Strategies
The Fund takes a holistic approach to investing by combining exposure to nine broad hedge fund strategies. Investors may benefit from the simplicity of a single, balanced, core solution compared to the challenges of picking several single products.
  Portfolio Characteristics

Risk Allocation

As of September 30, 2019

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% of Risk Allocation
Managed Futures 15.60%
Global Macro 12.82%
Dedicated Short Bias 12.69%
Equity Market Neutral 12.46%
Convertible and Volatility Arbitrage 10.63%
Event Driven 10.39%
Long/Short Equity 9.99%
Emerging Markets 8.85%
Fixed Income Relative Value 6.57%
Total 100.00%

Exposures by Asset Class

As of September 30, 2019

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Long Positions Short Positions
Equities 284.75% 271.66%
Fixed Income 138.67% 50.27%
Currencies 67.37% 87.44%
Credit 0.00% 16.41%
Commodities 3.19% 8.20%
Total 493.98% 433.98%

Portfolio Statistics

As of September 30, 2019

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# of short holdings 1114
# of long holdings 1352
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 7/18/2011 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Strategy Alternative Fund -1.00% -10.58% -9.88% -7.26% -2.63% -0.59% 2.68% 2.68%
ICE BofAML US 3M T-Bill 0.12% 2.13% 2.32% 1.63% 1.05% 0.65%
AQR Multi-Strategy Alternative Fund ICE BofAML US 3M T-Bill
QTD -1 % 0.12 %
YTD -10.58 % 2.13 %
1YR -9.88 % 2.32 %
3YR -7.26 % 1.63 %
5YR -2.63 % 1.05 %
Since Inception 7/18/2011 -0.59 % 0.65 %
Gross Expense Ratio 2.68%
Net Expense Ratio* 2.68%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR Since Inception 7/18/2011 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Strategy Alternative Fund -1.51% -7.61% -11.28% -5.98% -1.41% -0.20% 2.68% 2.68%
ICE BofAML US 3M T-Bill 0.57% 1.81% 2.39% 1.54% 0.98% 0.63%
AQR Multi-Strategy Alternative Fund ICE BofAML US 3M T-Bill
QTD -1.51 % 0.57 %
YTD -7.61 % 1.81 %
1YR -11.28 % 2.39 %
3YR -5.98 % 1.54 %
5YR -1.41 % 0.98 %
Since Inception 7/18/2011 -0.2 % 0.63 %
Gross Expense Ratio 2.68%
Net Expense Ratio* 2.68%
  Managers

John M. Liew

Founding Principal

  • 26 years of experience
  • 21 years at AQR

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

B.A., University of Chicago

Jacques A. Friedman

Principal

  • 23 years of experience
  • 21 years at AQR

M.S., University of Washington

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

Michael Katz

Principal

  • 12 years of experience
  • 12 years at AQR

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

B.A., Tel Aviv University

  Fees & Minimums

Investment Minimums

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Individual Investors $1 Million
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 1.75%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales 0.42%
     All Other Expenses 0.17%
Acquired Fund Fees 0.09%
Gross Expenses 2.68%
Less: Fee Waivers and/or Expense Reimbursements 0.00%
Net Expenses* 2.68%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio 2.26%
  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:
The Fund does not invest directly in hedge funds, but pursues strategies similar to those traditionally employed by hedge funds. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

This Fund is a non-diversified fund. Because the fund may invest in securities of smaller numbers of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Fund’s Performance. 

This Fund is not suitable for all investors. An investor considering the Fund should be able to tolerate potentially wide price fluctuations. The Fund may attempt to increase its income or total return through the use of securities lending, and 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.

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.