AQR Trend Total Return Fund
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- daily nav $14.59
- change $0.12
- daily return 0.83%
- inception date 12/16/2021
- AUM $40MM
Investment Objective
Seeks capital appreciation.
Effective August 19, 2024, the Fund's name and principal investment strategy changed (the "Repurposing"). Prior to the Repurposing, the Fund's name was AQR Sustainable Long-Short Equity Carbon Aware Fund and it pursued a different principal investment strategy.
Investment Approach
The Fund pursues its investment objective by allocating assets among four major asset classes (commodities, currencies, equities and fixed income). Our systematic model uses a wide range of trend-following signals to go long assets that are improving and short assets that are deteriorating. We seek to offer a diversified approach to trend following across asset classes and various measures of trend—both price-based and fundamental. By combining this approach with a target 0.5 beta to the S&P 500 Index, the Fund seeks to capitalize on potential benefits from two sources of return.
Why Invest in the Trend Total Return Fund?
Differentiated Trend-Following Approach
Combines signals based on prices and economic fundamentals to capture trends across traditional and harder to access alternative assets, including equity factors.
Equity and Alternative Exposure
Seeks total return by integrating targeted U.S. equity market exposure with AQR’s proprietary trend following approach.
Downside Risk Mitigation
Aims to deliver positive performance in bull markets and potential outperformance during equity market drawdowns.
Annualized Total Returns
As of September 30, 2024
| MTD | YTD | 1YR | Since Inception 12/16/2021 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|
| AQR Trend Total Return Fund | 3.65% | 29.45% | 36.36% | 24.93% | 2.99% | 2.31% |
| (0.5 * S&P500 TR) + (0.5 * T Bills) | 1.28% | 12.82% | 20.18% | 7.01% |
| AQR Trend Total Return Fund | (0.5 * S&P500 TR) + (0.5 * T Bills) | |
|---|---|---|
| MTD | 3.65% | 1.28% |
| YTD | 29.45% | 12.82% |
| 1YR | 36.36% | 20.18% |
| Since Inception 12/16/2021 | 24.93% | 7.01% |
| Gross Expense Ratio | 2.99% | |
| Net Expense Ratio* | 2.31% |
As of September 30, 2024
| QTD | YTD | 1YR | Since Inception 12/16/2021 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|
| AQR Trend Total Return Fund | 5.65% | 29.45% | 36.36% | 24.93% | 2.99% | 2.31% |
| (0.5 * S&P500 TR) + (0.5 * T Bills) | 3.61% | 12.82% | 20.18% | 7.01% |
| AQR Trend Total Return Fund | (0.5 * S&P500 TR) + (0.5 * T Bills) | |
|---|---|---|
| QTD | 5.65% | 3.61% |
| YTD | 29.45% | 12.82% |
| 1YR | 36.36% | 20.18% |
| Since Inception 12/16/2021 | 24.93% | 7.01% |
| Gross Expense Ratio | 2.99% | |
| Net Expense Ratio* | 2.31% |
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.
Effective August 19, 2024, the Fund's name and principal investment strategy changed (the "Repurposing"). Prior to the Repurposing, the Fund's name was AQR Sustainable Long-Short Equity Carbon Aware Fund and it pursued a different principal investment strategy. Other Expenses and Acquired Fund Fees and Expenses are estimated for the current fiscal year in connection with the Repurposing.
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. This Fund may also take short positions in derivative instruments. A short position in a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument, which could cause the Fund to suffer a (potentially unlimited) loss.
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
Principal
Ph.D., M.A., New York University
B.A., Boston College
Erik Stamelos
A.B., Harvard University
James Asselin
B.S., Cornell University
Fred Liu
M.S., Cornell University
B.B.A., University of Texas - Austin
James Lofton
B.A., University of Pennsylvania
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 | 1.05% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 1.04% |
| All Other Expenses | 0.88% |
| Acquired Fund Fees | 0.02% |
| Gross Expenses | 2.99% |
| Less: Expense Reimbursements | 0.68% |
| Net Expenses* | 2.31% |
| Adjusted Expense Ratio** | 1.27% |
|---|
**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: 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.
The use of derivatives, including swaps, forward and futures contracts, and investments in 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. 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. This Fund takes short positions in derivative instruments. A short position in a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument, which could cause the Fund to suffer a (potentially unlimited) loss. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. 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:
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.
Realized Sharpe Ratio: A ratio which measures risk-adjusted performance.
Realized Volatility: The standard deviation of the compounded returns of a financial instrument within a specific time horizon.
© 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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