AQR Risk Parity II MV Fund

QRMIX
  • daily nav $10.03
  • change $0.05
  • daily return 0.50%
  • inception date 11/5/2012
  • AUM $110MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks total return. Total return consists of capital appreciation and income.

Risk-Diversified Global Market Exposure

The Fund invests across a wide variety of global markets, including: developed and emerging market equities, fixed income and commodities.

Investment Approach

The Fund uses a risk budgeting approach to combine a large number of liquid, global risk premia into a diversified portfolio, which aims to provide positive total returns. We seek assets that we believe are liquid and provide either a positive expected return or some portfolio diversification benefit over the long-term. The strategy seeks to offer investors exposure to a number of global equity, fixed income, and commodity markets. The Fund attempts to draw on Modern Portfolio Theory in three ways: employing a broad investment opportunity set, maximizing diversification, and utilizing leverage to manage risk.

In allocating investments among asset classes, the strategy follows a “risk parity” approach. The “risk parity” approach to asset allocation seeks to balance the allocation of risk across asset classes (as measured by forecasted volatility, estimated potential loss, and other proprietary measures) when building a diversified portfolio. This means that lower-risk asset classes (such as global fixed income and inflation-linked government bonds) will generally have higher capital allocations than higher-risk asset classes (such as global developed and emerging market equities). This risk parity portfolio aims to have less equity risk than traditional 60/40 asset allocations do, and more investment in government bonds, and commodities. The Fund’s strategy will target a volatility of 10%. A “neutral” asset allocation targets an equal risk allocation from each of the three following major risk sources: equity risk, fixed income risk, and inflation risk.

The Fund is actively managed, and the fund managers will vary the Fund’s exposures to various asset classes based on the evaluation of investment opportunities within and across these asset classes. These shifts in allocations will be determined using models based on AQR’s general value and momentum investment philosophy, and may cause the Fund to deviate from a “neutral” position. Information that is evaluated to arrive at the Fund’s views includes, but is not limited to: global interest rates, earnings, cash flows, dividend yields, import/export flows, currency movements, sentiment indicators, trend indicators, inflation and growth forecasts and news feeds.

Why Invest in the Risk Parity II MV Fund?

Access to Risk Parity Strategy
The Fund delivers exposure to a risk parity asset allocation strategy in a mutual fund vehicle. A Risk Parity approach to asset allocation seeks to balance the allocation of risk across three major risk sources: equity risk, fixed income risk and inflation risk, and is considered a low beta strategy. Our research shows that historically this strategy has performed more consistently across a variety of economic environments than traditional approaches to asset allocation. (Source: Hurst, Brian, Johnson, Bryan W., Ooi, Yao Hua, 2010. “Understanding Risk Parity.” AQR white paper.)
Actively Managed Tactical Positioning
The strategy will dynamically adjust exposure to markets based on the fund manager’s views.
Risk Management
The Fund will incorporate a risk reduction process, stress testing, and volatility targeting to help manage risk while implementing the strategy.
  Portfolio Characteristics

Sector Exposure

As of September 30, 2019

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Equity % of Risk Allocation
Global Developed Equities 34.09%
Global Emerging Equities 5.00%
Total Equity 39.09%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Nominal Interest Rate % of Risk Allocation
Global Developed Bonds 29.23%
Total Nominal Interest Rate 29.23%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Inflation % of Risk Allocation
Commodities 27.32%
Global Inflation-Linked Bonds 4.36%
Total Inflation 31.68%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Total 100.00%

Top Positions in Each Category

As of September 30, 2019

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Equities % of Risk Allocation
S&P 500 Index Future 16.56%
DJ Euro Stoxx 50 Future 2.73%
HSCEI China Index Future 2.13%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Fixed Income % of Risk Allocation
US 10 Yr Treasury Bond Future 13.75%
Euro 10 Yr Bund Future 7.97%
Japan 10 Yr Bond Future 2.75%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Inflation % of Risk Allocation
Brent Crude Financial Future 9.53%
US Inflation-Linked Bond 3.79%
Gold Future 3.12%

Portfolio Statistics

As of September 30, 2019

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Realized Beta Since Inception to S&P 500 0.34
Realized Beta Since Inception to BarCap Agg 1.10
Realized Since Inception Volatility 7.70%
Realized Since Inception Sharpe Ratio 0.44
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 11/5/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Parity II MV Fund -0.10% 18.18% 16.23% 8.14% 4.02% 4.09% 1.19% 0.99%
60/40 MSCI World/Barclays Global Agg 1.62% 17.76% 13.06% 9.32% 6.31% 7.86%
AQR Risk Parity II MV Fund 60/40 MSCI World/Barclays Global Agg
QTD -0.1 % 1.62 %
YTD 18.18 % 17.76 %
1YR 16.23 % 13.06 %
3YR 8.14 % 9.32 %
5YR 4.02 % 6.31 %
Since Inception 11/5/2012 4.09 % 7.86 %
Gross Expense Ratio 1.19%
Net Expense Ratio* 0.99%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR Since Inception 11/5/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Parity II MV Fund 2.16% 17.47% 9.69% 6.55% 4.34% 4.10% 1.19% 0.99%
60/40 MSCI World/Barclays Global Agg 1.38% 14.21% 5.66% 7.72% 6.14% 7.58%
AQR Risk Parity II MV Fund 60/40 MSCI World/Barclays Global Agg
QTD 2.16 % 1.38 %
YTD 17.47 % 14.21 %
1YR 9.69 % 5.66 %
3YR 6.55 % 7.72 %
5YR 4.34 % 6.14 %
Since Inception 11/5/2012 4.1 % 7.58 %
Gross Expense Ratio 1.19%
Net Expense Ratio* 0.99%
  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

Brian K. Hurst

Principal

  • 25 years of experience
  • 21 years at AQR

B.S., University of Pennsylvania

Michael A. Mendelson

Principal

  • 25 years of experience
  • 14 years at AQR

M.B.A., University of California, Los Angeles

S.M., S.B. (3), Massachusetts Institute of Technology

Yao Hua Ooi

Principal

  • 15 years of experience
  • 15 years at AQR

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

John Huss

Principal

  • 15 years of experience
  • 9 years at AQR

S.B., Massachusetts Institute of Technology

  Fees & Minimums

Investment Minimums

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Management Fee 0.75%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales None
     All Other Expenses 0.40%
Acquired Fund Fees 0.04%
Gross Expenses 1.19%
Less: Fee Waivers and/or Expense Reimbursements 0.20%
Net Expenses* 0.99%
  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.

The Adviser , on average, will target an annualized volatility level for the Fund of 10%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. The Adviser expects that the Fund’s targeted annualized forecasted volatility will typically range between 7% and 13%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

 

PRINCIPAL RISKS:
Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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 not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. 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. Risk allocation and attribution are based on estimated data, and may be subject to change.

Definitions:
S&P 500 Total Return Index: a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. 
MSCI World Index: a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets. 
Barclays Capital U.S. Aggregate Bond Index: a broad-based index used to represent investment grade bonds being traded in the United States. 
Barclays Capital Global Aggregate Bond Index: a broad-based index used to represent global investment-grade fixed incomes markets.
Realized Beta of Fund to Index: A measure of the amount the fund has tended to move given a move in the specified Index   using three-day overlapping returns. A beta of 1 indicates that if the index has moved 10% over a three-day period, the fund   has tended to move, on average, 10% over the same period. A beta of more than 1 indicates the fund has tended to move, on average, more than 10% in that case, and a beta of less than one indicates the fund has tended to move less than 10% in that case.
Modern Portfolio Theory: an investment theory which aims to maximize the expected return for a portfolio given a certain amount of portfolio risk, or minimize risk for a given level of expected return, by varying the proportions of various assets.
Risk Premia: the return earned for taking risk in a given asset class above the risk free rate.
Sharpe Ratio: a ratio which measures risk-adjusted performance.
Volatility: the standard deviation of the compounded returns of a financial instrument within a specific time horizon.

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.