AQR Alternative Risk Premia Fund

QRPIX
  • daily nav $7.66
  • change $-0.03
  • daily return -0.39%
  • inception date 9/19/2017
  • AUM $115MM

As of August 04, 2021

  About the Fund

Investment Objective

Seeks positive absolute returns.

A Core Alternative Solution

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 alternative risk premia while accounting for potential tax implication of investment decisions.

Investment Approach

The Fund invests long and short across five different asset groups (Stocks & Industries, Equity Indices, Fixed Income, Currencies, and Commodities) and five investment styles (Value, Momentum, Carry, Defensive, and Trend), and aims to be market neutral over the long term.

Investment styles are disciplined, systematic and economically intuitive methods of investing that have the ability to produce long-term positive returns across markets and asset groups with little correlation to equity markets.

These styles have historically exhibited low correlations to one another. By allocating across strategies, the Fund exposures are well balanced across the different sources of return. An integrated portfolio of alternative risk premia can provide important diversification benefits to traditional portfolios and can serve as a core alternative allocation.

Why Invest in the AQR Alternative Risk Premia Fund?

Seeks Attractive Risk-Adjusted Returns
The Fund combines five different style strategies across a range of liquid asset groups: Stocks & Industries, Equity Indices, Fixed Income, Currencies, and Commodities. 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 Alternatives
The Fund takes a holistic approach to style investing: combining exposure to five styles across four asset classes within one single portfolio. Investors may benefit from the simplicity of a single, balanced, core solution compared to the challenges of picking several single style products.
  Portfolio Characteristics

Portfolio Statistics

As of June 30, 2021

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# of short holdings 679
# of long holdings 710

Asset Class Exposure

As of June 30, 2021

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% of Risk Allocation
Stocks & Industries 35.23%
Commodities 21.47%
Fixed Income 16.76%
Currencies 14.68%
Equity Indices 11.86%
  Performance

Annualized Total Returns

As of July 31, 2021

MTD YTD 1YR 3YR Since Inception 9/19/2017 Gross Expense Ratio Net Expense Ratio*
AQR Alternative Risk Premia Fund 2.41% 11.03% 3.62% -5.42% -5.99% 3.34% 3.22%
ICE BofAML US 3M T-Bill 0.01% 0.03% 0.08% 1.29% 1.33%
AQR Alternative Risk Premia Fund ICE BofAML US 3M T-Bill
MTD 2.41% 0.01%
YTD 11.03% 0.03%
1YR 3.62% 0.08%
3YR -5.42% 1.29%
Since Inception 9/19/2017 -5.99% 1.33%
Gross Expense Ratio 3.34%
Net Expense Ratio* 3.22%

As of June 30, 2021

QTD YTD 1YR 3YR Since Inception 9/19/2017 Gross Expense Ratio Net Expense Ratio*
AQR Alternative Risk Premia Fund -0.40% 8.42% 1.86% -5.94% -6.71% 3.34% 3.22%
ICE BofAML US 3M T-Bill 0.00% 0.02% 0.09% 1.34% 1.36%
AQR Alternative Risk Premia Fund ICE BofAML US 3M T-Bill
QTD -0.40% 0.00%
YTD 8.42% 0.02%
1YR 1.86% 0.09%
3YR -5.94% 1.34%
Since Inception 9/19/2017 -6.71% 1.36%
Gross Expense Ratio 3.34%
Net Expense Ratio* 3.22%
  Managers

Ronen Israel

Principal

  • 25 years of experience
  • 21 years at AQR

M.A., Columbia University

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

Ari Levine

Principal

  • 13 years of experience
  • 13 years at AQR

B.S., B.S.E., M.S.E., University of Pennsylvania

Yao Hua Ooi

Principal

  • 16 years of experience
  • 16 years at AQR

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

Nathan Sosner

Principal

  • 17 years of experience
  • 6 years at AQR

Ph.D., Harvard University

M.A., B.A., Tel Aviv University

  Fees & Minimums

Investment Minimums

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Accounts Offered by Financial Advisors None
Individual Investors $5 Million
Institutional Investors 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 1.20%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 1.79%
     All Other Expenses 0.32%
Acquired Fund Fees 0.03%
Gross Expenses 3.34%
Less: Fee Waivers and/or Expense Reimbursements 0.12%
Net Expenses* 3.22%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 1.43%
  Documents

Fund Literature

Fund Reporting

  • Complete Holdings

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. Diversification does not eliminate risk.

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.

The potential for tax-efficiency is a result of the presence of long and short positions, which increases the opportunity to realize capital losses in both up and down markets.

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.