AQR Sustainable Long-Short Equity Carbon Aware Fund

QNZIX
  • daily nav $13.99
  • change $-0.06
  • daily return -0.43%
  • inception date 12/16/2021
  • AUM $39MM

As of July 19, 2024

  About the Fund

Investment Objective

Seeks capital appreciation. 

Please note that this Fund will be repurposed on or around August 19, 2024.

A Sustainable Approach to Alternative Investing

This Fund invests long and short across global equity markets, integrating certain Environmental, Social, and Governance (“ESG”) considerations into its security selection and portfolio construction processes and seeking to hedge climate risks. The resulting portfolio may allow investors to capitalize on diversifying return potential from an alternative strategy while investing responsibly. With twenty years of experience in systematic, sustainable investing, we believe AQR is uniquely positioned to manage the industry’s first sustainable long-short equity mutual fund. 

Investment Approach

To start constructing the sustainable portfolio, we use ESG characteristics to narrow down the investment universe. These ESG characteristics, determined using a combination of AQR models and third party ESG data, identify the extent to which each company in the investment universe is exposed to, and how well it manages, a range of ESG issues. We utilize static ESG filters based on third party data to seek to prohibit the purchase of industries with particularly poor ESG characteristics, such as tobacco, controversial weapons, and fossil fuels. We also apply dynamic ESG filters, which use third party data to seek to prohibit the purchase of companies ranked approximately in the bottom 10% for their ESG characteristics. Once these filters have been applied, we use a set of value, momentum, quality, sentiment and other quantitative investment indicators to generate a long-short portfolio based on our global security selection model with weighting based on each position’s attractiveness or unattractiveness. The resulting portfolio will maintain a moderate net long exposure to global equity markets.

Why Invest in the Sustainable Long-Short Equity Carbon Aware Fund?

Diversifying and Sustainable Sources of Return
ESG-conscious investors should not have to choose between a responsible investment approach and a well-diversified portfolio. This Fund seeks to provide exposure to companies with certain positive ESG characteristics as well as to multiple sources of alternative return that may not be available through a traditional investment strategy. 
Stronger Expression of ESG Views
Compared to long-only approaches that can prohibit exposure to negative ESG characteristics, shorting may allow investors to more effectively achieve ESG goals, such as reducing the carbon footprint of their portfolio. 
Seeks to Hedge Against Climate Risk
The portfolio incorporates multiple metrics of climate exposure, such as carbon emissions and fossil fuel reserves, in an effort to hedge against climate-type investment risks. Moreover, by netting the carbon emissions of its underlying stocks with those of its short positions, the Fund can target a carbon footprint of zero. 

ESG Investing at AQR

In recent years, there has been increased political, regulatory, and social emphasis on sustainability practices in the investment community. The importance of global issues such as climate change and workplace inequality has been brought to the forefront, causing investors and asset managers to prioritize their ESG efforts. 

AQR is committed to helping our clients achieve their ESG goals. As a leader in systematic, sustainable investing, we continue to expand our commitment to ESG through research, product innovation, and industry partnerships. As a firm, we integrate ESG in both our asset selection and ownership decisions, which are guided by the responsible investment framework we created with the UN PRI. Learn more about AQR’s approach to responsible asset selection and responsible ownership here.

  Portfolio Characteristics

Top 5 Long Equity Holdings

As of June 30, 2024

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Nvidia 2.72%
Amazon.com 2.61%
Apple 2.45%
3M 1.43%
BofAML 1.33%

Top 5 Short Equity Holdings

As of June 30, 2024

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Houlihan Lokey -1.34%
Ferrari -1.33%
Blue Owl Capital -1.27%
OReilly Auto -1.18%
Monster Beverage -1.15%

Sector Exposures

As of June 30, 2024

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Net Long Short
Communication Services 0.97% 10.30% -9.33%
Consumer Discretionary 2.50% 34.46% -31.96%
Consumer Staples 1.94% 13.36% -11.43%
Energy 6.66% 7.61% -0.95%
Financials 26.74% 47.97% -21.23%
Health Care -0.18% 18.29% -18.47%
Industrials 13.62% 43.13% -29.51%
Information Technology 17.01% 32.88% -15.88%
Materials 3.40% 13.90% -10.51%
Real Estate -4.88% 4.04% -8.91%
Utilities -2.30% 4.60% -6.90%
Total 65.46% 230.54% -165.08%

Country Exposures

As of June 30, 2024

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Long Short
Australia 4.47% -3.27%
Belgium 1.00% -0.69%
Canada 6.49% -5.01%
Denmark 1.81% -1.38%
Finland 2.29% -0.20%
France 8.26% -4.98%
Germany 6.88% -4.81%
Hong Kong 1.36% -1.12%
Italy 4.22% -3.70%
Japan 29.78% -25.50%
Netherlands 3.33% -1.48%
Norway 1.50% -0.42%
Singapore 0.71% 0.00%
Spain 2.32% -0.80%
Sweden 3.78% -3.41%
Switzerland 5.83% -4.07%
United Kingdom 12.06% -7.91%
United States 134.44% -96.32%
Total 230.54% -165.08%

Portfolio Statistics

As of June 30, 2024

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# of long holdings 777
# of short holdings 601
Long Exposure (% of NAV) 230.54%
Short Exposure (% of NAV) 165.08%
  Performance

Annualized Total Returns

As of June 28, 2024

MTD YTD 1YR Since Inception 12/16/2021 Gross Expense Ratio Net Expense Ratio*
AQR Sustainable Long-Short Equity Carbon Aware Fund -0.36% 22.52% 40.30% 24.98% 2.06% 1.37%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 1.22% 7.17% 12.84% 5.13%
AQR Sustainable Long-Short Equity Carbon Aware Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
MTD -0.36% 1.22%
YTD 22.52% 7.17%
1YR 40.30% 12.84%
Since Inception 12/16/2021 24.98% 5.13%
Gross Expense Ratio 2.06%
Net Expense Ratio* 1.37%

As of June 28, 2024

QTD YTD 1YR Since Inception 12/16/2021 Gross Expense Ratio Net Expense Ratio*
AQR Sustainable Long-Short Equity Carbon Aware Fund 5.75% 22.52% 40.30% 24.98% 2.06% 1.37%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 2.03% 7.17% 12.84% 5.13%
AQR Sustainable Long-Short Equity Carbon Aware Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
QTD 5.75% 2.03%
YTD 22.52% 7.17%
1YR 40.30% 12.84%
Since Inception 12/16/2021 24.98% 5.13%
Gross Expense Ratio 2.06%
Net Expense Ratio* 1.37%

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.

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.

The MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country and MSCI world index does not offer exposure to emerging markets. Indexes are unmanaged and one cannot invest directly in an index.

The ICE Bank of America Merrill Lynch 3 Month T-Bill Index is 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.

 
  Managers

Cliff Asness

Managing & Founding Principal

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

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

John M. Liew

Founding Principal

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

B.A., University of Chicago

Michele L. Aghassi

Principal

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Andrea Frazzini

Principal

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

John J. Huss

Principal

S.B., Massachusetts Institute of Technology

  Fees & Minimums

Investment Minimums

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Individual Investors $5 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 1.10%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.05%
     All Other Expenses 0.89%
Acquired Fund Fees 0.02%
Gross Expenses 2.06%
Less: Expense Reimbursements 0.69%
Net Expenses* 1.37%

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 I 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** 1.32%

**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:

Investing in securities that meet ESG criteria may result in the fund forgoing otherwise attractive opportunities, which may result in underperformance when compared to funds that do not consider ESG factors.

This Fund is new and has a limited operating history.

The Fund’s use of derivative instruments and short positions exposes the Fund to additional risks, such as increased volatility, risk of default by the counterparty to the transaction and possible losses greater (sometimes substantially) than the Fund's initial investment as well as increased transaction costs. Investments in foreign and emerging markets involves risks not associated with investments in US markets, such as currency fluctuations and political and regulatory uncertainty.  Funds that have exposure to mid and small-cap companies generally will experience greater price volatility. The Adviser employs various hedging techniques. It is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs. 

Sustainable investing is qualitative and subjective by nature, and there is no guarantee that the environmental, social and governance (“ESG”) criteria utilized, judgment exercised, or techniques employed, by AQR will be successful, or that they will reflect the beliefs or values of any one particular investor. Certain information used to evaluate ESG factors, including, but not limited to, the carbon emissions of the companies to which the Fund has exposure, or a company’s commitment to, or implementation of, responsible practices is obtained through voluntary or third-party reporting, which may not be accurate or complete. ESG investing can limit the investment opportunities available to a portfolio, such as the exclusion of certain securities or issuers for nonfinancial reasons and, therefore, the portfolio may perform differently than or underperform other similar portfolios that do not apply ESG factors.

Please review the Fund’s prospectus for additional details regarding the risks associated with an investment in the Fund

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

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. 

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.

© 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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