AQR Diversified Arbitrage Fund
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- daily nav $12.34
- change $-0.01
- daily return -0.08%
- inception date 1/15/2009
- AUM $2005MM
Investment Objective
A Diversified Approach to Arbitrage Opportunities
The Fund seeks to exploit mispricings in markets through a diversified investment approach across merger arbitrage, convertible arbitrage and a suite of event-driven strategies.
Investment Approach
Arbitrage strategies look for two related assets that are trading at different prices, then buy the cheaper one and sell short the more expensive one. The difference between the prices is the expected profit of the trade. AQR's Diversified Arbitrage Fund invests in three primary arbitrage strategies:
• Merger Arbitrage — consists of buying shares of the target company in a proposed merger, and hedging the exposure to the acquirer by shorting the stock of the acquiring company
• Convertible Arbitrage — consists of buying convertible securities and attempting to mitigate the risks associated with the investment by shorting the stock of the issuer
• Event-Driven Investments — involves various corporate actions where very similar assets begin to trade at different prices (e.g., the different share classes of a public company's stock)
Over time, the Fund seeks to balance its exposure equally among the three strategies while maintaining the ability to make tactical tilts based on each strategy's conditional attractiveness.
Why Invest in the AQR Diversified Arbitrage Fund?
Seeks Attractive Risk-Adjusted Returns
The Fund seeks to provide a steady and independent source of returns to a portfolio of stocks and bonds, aiming to maintain strong performance over the long term.
Potential to Perform in Up and Down Markets
Portfolio Diversification
Strategy Exposures
As of June 30, 2024
| Long Positions as % of Net Assets | Short Positions as % of Net Assets | |
|---|---|---|
| Convertible Arbitrage | 65.50% | -36.68% |
| Merger Arbitrage | 51.69% | -18.14% |
| Event Driven | 13.04% | -5.27% |
| Total | 130.23% | -60.09% |
Sector Exposures
As of June 30, 2024
| % of Long Exposure | |
|---|---|
| Communication Services | 4.12% |
| Consumer Discretionary | 17.44% |
| Consumer Staples | 2.77% |
| Energy | 10.79% |
| Financials | 7.20% |
| Health Care | 10.68% |
| Industrials | 6.96% |
| Information Technology | 20.32% |
| Materials | 3.58% |
| Miscellaneous | 7.29% |
| Real Estate | 1.86% |
| Utilities | 7.00% |
| Total | 100.00% |
Security Types
As of June 30, 2024
| % of Long Exposure | |
|---|---|
| Convertible Bonds | 49.18% |
| Individual Stocks | 44.92% |
| Close-end Funds | 4.86% |
| Debt | 1.05% |
| Total | 100.00% |
Top 5 Long Equity Holdings
As of June 30, 2024
| Royal Caribbean Cruises Ltd | 8.05% |
|---|---|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.67% |
| Carnival Corp | 2.50% |
| Discover Financial Services | 2.46% |
| Albertsons Companies Inc | 2.45% |
Top 5 Short Equity Holdings
As of June 30, 2024
| Royal Caribbean Cruises Ltd | -7.77% |
|---|---|
| Taiwan Semiconductor Manufacturing Co Ltd | -3.12% |
| Capital One Financial Corp | -2.65% |
| Chevron Corp | -2.62% |
| Chesapeake Energy Corp | -1.91% |
Portfolio Statistics
As of June 30, 2024
| # of long holdings | 207 |
|---|---|
| # of short holdings | 135 |
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 Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
Annualized Total Returns
As of September 30, 2024
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/15/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 0.24% | 3.87% | 5.48% | 1.49% | 7.38% | 4.91% | 4.28% | 1.53% | 1.53% |
| ICE BofA US 3M T-Bill Index | 0.43% | 4.03% | 5.46% | 3.49% | 2.32% | 1.65% | 1.09% |
| AQR Diversified Arbitrage Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| MTD | 0.24% | 0.43% |
| YTD | 3.87% | 4.03% |
| 1YR | 5.48% | 5.46% |
| 3YR | 1.49% | 3.49% |
| 5YR | 7.38% | 2.32% |
| 10YR | 4.91% | 1.65% |
| Since Inception 1/15/2009 | 4.28% | 1.09% |
| Gross Expense Ratio | 1.53% | |
| Net Expense Ratio* | 1.53% |
As of September 30, 2024
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 1/15/2009 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Diversified Arbitrage Fund | 2.66% | 3.87% | 5.48% | 1.49% | 7.38% | 4.91% | 4.28% | 1.53% | 1.53% |
| ICE BofA US 3M T-Bill Index | 1.37% | 4.03% | 5.46% | 3.49% | 2.32% | 1.65% | 1.09% |
| AQR Diversified Arbitrage Fund | ICE BofA US 3M T-Bill Index | |
|---|---|---|
| QTD | 2.66% | 1.37% |
| YTD | 3.87% | 4.03% |
| 1YR | 5.48% | 5.46% |
| 3YR | 1.49% | 3.49% |
| 5YR | 7.38% | 2.32% |
| 10YR | 4.91% | 1.65% |
| Since Inception 1/15/2009 | 4.28% | 1.09% |
| Gross Expense Ratio | 1.53% | |
| Net Expense Ratio* | 1.53% |
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.
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 Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
Jordan Brooks
Principal
Ph.D., M.A., New York University
B.A., Boston College
Rocky Bryant
Principal AQR Arbitrage
B.S., Massachusetts Institute of Technology
Mark L. Mitchell
Principal AQR Arbitrage
Ph.D., M.A., Clemson University
B.B.A., University of Louisiana at Monroe
Todd C. Pulvino
Principal AQR Arbitrage
Ph.D., A.M., Harvard University
M.S., California Institute of Technology
B.Sc, University of Wisconsin-Madison
Investment Minimums
| Individual Investors | $5 Million |
|---|---|
| Institutional Investors | None |
| Accounts Offered by Financial Advisors | None |
Shareholder Fees
| Sales Load | None |
|---|---|
| Deferred Sales Load | None |
| Redemption Fees | None |
Annual Fund Operating Expenses
| Management Fee | 1.00% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 0.13% |
| All Other Expenses | 0.20% |
| Acquired Fund Fees | 0.20% |
| Gross Expenses | 1.53% |
| Less: Expense Reimbursements | 0.00% |
| Net Expenses* | 1.53% |
AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
| Adjusted Expense Ratio** | 1.40% |
|---|
**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.
AQR Arbitrage, LLC was formerly known as CNH Partners, LLC.
PRINCIPAL RISKS:
An investment in the Fund involves risk, including loss of principal. The Fund is not suitable for all investors.
The Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. The use of derivative instruments exposes the Fund to additional risks and transaction costs. The 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.
Please refer to the Prospectus for complete information regarding all risks associated with the Fund. Risk Allocation and attribution are based on estimated data, and may be subject to change.
Definitions:
Volatility: a statistical measure of the dispersion of returns for a given security or index.
Beta: A measure of systematic risk of a portfolio
Sharpe Ratio: a ratio which measures risk-adjusted performance
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 investing. To 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.
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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