AQR Multi-Asset Fund
Quick Links
- daily nav $10.81
- change $0.04
- daily return 0.37%
- inception date 9/29/2010
- AUM $662MM
Investment Objective
Fund Overview
Invests globally across stocks, bonds, currencies, and commodities, allocating smaller amounts of capital to assets that are forecasted to be more volatile and larger amounts to those expected to be less volatile. The resulting portfolio seeks to generate attractive returns while targeting a consistent level of risk through time.
Why Invest in the Multi-Asset Fund?
Diversified Sources of Return
Invests in a broad range of asset classes including equities, fixed income, currencies, and commodities.
Active Asset Allocation
Tactically adjusts exposure to asset classes as market conditions change.
A Balanced Approach to Risk
Balances risk across asset classes, offering ongoing diversification and an opportunity for each category to contribute meaningfully to returns.
Prior to January 30, 2019 the AQR Multi-Asset Fund was known as the AQR Risk Parity Fund.
Risk Allocation
As of September 30, 2024
| % of Risk Allocation | |
|---|---|
| Equity | 40.83% |
| Fixed Income | 30.97% |
| Commodities | 17.56% |
| Currencies | 5.89% |
| Inflation-Linked Bonds | 4.75% |
Top Positions in Each Category
As of September 30, 2024
| Credit/Currency | % of Risk Allocation |
|---|---|
| NZD vs USD | 2.60% |
| CHF vs USD | 2.32% |
| EUR vs USD | 1.96% |
| Equities | % of Risk Allocation |
|---|---|
| DJ Euro Stoxx 50 Future | 1.56% |
| E-Mini S&P 500 Index Future | 1.50% |
| Japan Topix Index Future | 1.30% |
| Fixed Income | % of Risk Allocation |
|---|---|
| U.S. 10 Yr Treasury Note Future | 3.95% |
| U.S. 20 Yr Treasury Note Future | 1.69% |
| U.S. Ultra Long Bond Future | 1.42% |
| Inflation | % of Risk Allocation |
|---|---|
| WTI Crude Oil Future | 2.61% |
| US Inflation-Linked Bond | 2.57% |
| Gold Future | 1.80% |
Portfolio Statistics
As of September 30, 2024
| Realized Beta Since Inception to S&P 500 | 0.38 |
|---|---|
| Realized Beta Since Inception to BarCap Agg | 0.78 |
| Realized Since Inception Volatility | 9.24% |
| Realized Since Inception Sharpe Ratio | 0.55 |
All Fund statistics are subject to change and should not be considered a recommendation to buy or sell securities.
Risk allocations are calculated as the relative weight of the expected volatilities for each strategy, with a sum equal to 100% across all strategies. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
Annualized Total Returns
As of December 31, 2024
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 9/29/2010 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Multi-Asset Fund | -2.06% | 10.92% | 10.92% | 3.32% | 5.30% | 5.55% | 6.02% | 1.12% | 1.01% |
| 60/40 S&P 500 Index/Barclays US Aggregate Bond Index | -2.08% | 15.04% | 15.04% | 4.46% | 8.67% | 8.52% | 9.45% |
| AQR Multi-Asset Fund | 60/40 S&P 500 Index/Barclays US Aggregate Bond Index | |
|---|---|---|
| MTD | -2.06% | -2.08% |
| YTD | 10.92% | 15.04% |
| 1YR | 10.92% | 15.04% |
| 3YR | 3.32% | 4.46% |
| 5YR | 5.30% | 8.67% |
| 10YR | 5.55% | 8.52% |
| Since Inception 9/29/2010 | 6.02% | 9.45% |
| Gross Expense Ratio | 1.12% | |
| Net Expense Ratio* | 1.01% |
As of December 31, 2024
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 9/29/2010 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Multi-Asset Fund | -1.88% | 10.92% | 10.92% | 3.32% | 5.30% | 5.55% | 6.02% | 1.12% | 1.01% |
| 60/40 S&P 500 Index/Barclays US Aggregate Bond Index | 0.21% | 15.04% | 15.04% | 4.46% | 8.67% | 8.52% | 9.45% |
| AQR Multi-Asset Fund | 60/40 S&P 500 Index/Barclays US Aggregate Bond Index | |
|---|---|---|
| QTD | -1.88% | 0.21% |
| YTD | 10.92% | 15.04% |
| 1YR | 10.92% | 15.04% |
| 3YR | 3.32% | 4.46% |
| 5YR | 5.30% | 8.67% |
| 10YR | 5.55% | 8.52% |
| Since Inception 9/29/2010 | 6.02% | 9.45% |
| Gross Expense Ratio | 1.12% | |
| Net Expense Ratio* | 1.01% |
The performance data quoted represents past performance. Past performance does not guarantee future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
Source: AQR, JP Morgan. All returns for periods longer than a year are annualized. Benchmark is represented by 60% S&P 500 Total Return Index + 40% Bloomberg Barclays U.S. Aggregate Bond Total Return Index. Indices are unmanaged, and one cannot invest in an index. See Disclosures for definitions.
*AQR Capital Management, LLC ("AQR" or 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.
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
Jordan Brooks, Ph.D.
Principal
Ph.D., M.A., New York University
B.A. Boston College
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
.jpg?sc_lang=en)
Bryan T. Kelly
A.B., University of Chicago
M.A., University of California - San Diego
Ph.D., New York University
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 | 0.60% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 0.20% |
| All Other Expenses | 0.31% |
| Acquired Fund Fees | 0.01% |
| Gross Expenses | 1.12% |
| Less: Expense Reimbursements | 0.11% |
| Net Expenses* | 1.01% |
| Adjusted Expense Ratio*,** | 0.81% |
|---|
*AQR Capital Management, LLC ("AQR" or 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.
**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowings and repurchase agreements and dividend expense from investments on short sales, incurred directly by the Fund.
Principal Risks:
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 U.S. or abroad. Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Interest rate risk is the risk that prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase.
The use of derivatives, including swaps, forward and futures contracts, and investments commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and increased transaction costs. The Fund from time to time employs various hedging techniques. The success of the Fund’s hedging strategy will be subject to the investment adviser's ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged. The Fund is 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 Fund.
The Fund is not suitable for all investors. An investor considering the Fund should be able to tolerate potentially wide price fluctuations. 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.
Definitions:
The S&P 500 Total Return Index is a market-capitalization-weighted index of 500 leading publicly traded companies in the United States.
The Bloomberg Barclays Global Aggregate Bond Total Return Index is a broad-based index used to represent global investment-grade fixed incomes markets.
Beta is a measure of how sensitive a Fund’s return is to changes in a benchmark index. A beta of greater than 1 indicates a higher sensitivity to benchmark moves, and a beta less than 1 indicates lower sensitivity.
Sharpe Ratio is a measure of risk-adjusted performance of a security or investment.
Volatility is a statistical measure of the variation in returns for a given security or index.
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 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.
©2025 AQR Funds. All rights reserved.