AQR Volatility Risk Premium Fund

QVPIX
  • daily nav $10.11
  • change $-0.04
  • daily return -0.39%
  • inception date 11/1/2018
  • AUM $12MM

As of September 18, 2020

  About the Fund

Investment Objective

Seeks total return.

Total return consists of capital appreciation and income.

Targeting A Smoother Ride for Equity Investors

The Fund seeks to deliver equity market-like returns with lower overall risk than global equity markets by combining a risk-managed options selling strategy with an active equity strategy.

Investment Approach

The Fund seeks to deliver equity market-like returns with lower overall risk than global equity markets. It invests globally in a broad range of instruments including, but not limited to, equities, futures, currency futures and forwards, options and swaps.

The Fund combines two distinct sources of potential returns:

Volatility Risk Premium Strategy — The Fund seeks to capture the volatility risk premium across global developed equity and fixed income markets by selling (i.e., writing) call and put options to buyers seeking financial insurance in exchange for a premium, or payment, from the option buyer.

Systematic Equity Strategy — The Fund invests approximately 50% of its total assets in an actively-managed portfolio of global equities that seeks to outperform the MSCI World Index while targeting a consistent level of risk relative to this benchmark.

The Fund is not designed to be market neutral. Over the long term, the Fund targets a portfolio beta of 0.5, typically within a range of range of 0.4 and 0.6, to the MSCI World Index.

Why Invest in the AQR Volatility Risk Premium Fund?

Options Strategy Returns
The Fund seeks to capture the volatility risk premium by selling equity and fixed income options. The potential returns to this strategy may be diversifying to other sources of return present in most investor portfolios.
Enhanced Equity Returns
Using a systematic approach, the equity strategy within the Fund aims to deliver attractive returns while targeting a consistent level of risk relative to the benchmark through time.
Portfolio Diversification
Approximately half of the Fund’s assets are invested in equities and the other half in global equity and fixed income options. As a complement to a traditional equity allocation, the Fund may reduce the risk of an investors’ overall portfolio, enhance its returns, or both.
  Performance

Annualized Total Returns

As of August 31, 2020

MTD YTD 1YR Since Inception 11/1/2018 Gross Expense Ratio Net Expense Ratio*
AQR Volatility Risk Premium Fund 3.32% -1.16% 4.11% 2.66% 2.65% 0.78%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 3.34% 3.59% 9.45% 7.64%
AQR Volatility Risk Premium Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
MTD 3.32% 3.34%
YTD -1.16% 3.59%
1YR 4.11% 9.45%
Since Inception 11/1/2018 2.66% 7.64%
Gross Expense Ratio 2.65%
Net Expense Ratio* 0.78%

As of June 30, 2020

QTD YTD 1YR Since Inception 11/1/2018 Gross Expense Ratio Net Expense Ratio*
AQR Volatility Risk Premium Fund 10.00% -6.74% -3.69% -0.61% 2.65% 0.78%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 9.45% -2.12% 2.82% 4.83%
AQR Volatility Risk Premium Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
QTD 10.00% 9.45%
YTD -6.74% -2.12%
1YR -3.69% 2.82%
Since Inception 11/1/2018 -0.61% 4.83%
Gross Expense Ratio 2.65%
Net Expense Ratio* 0.78%
  Managers

Ronen Israel

Principal

  • 24 years of experience
  • 21 years at AQR

M.A., Columbia University

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

Lars Nielsen

Lars N. Nielsen

Principal

  • 20 years of experience
  • 20 years at AQR

M.S., B.S., University of Copenhagen

Yao Hua Ooi

Principal

  • 15 years of experience
  • 15 years at AQR

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

  Fees & Minimums

Investment Minimums

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Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors 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 0.55%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 2.07%
Acquired Fund Fees 0.03%
Gross Expenses 2.65%
Less: Fee Waivers and/or Expense Reimbursements 1.87%
Net Expenses* 0.78%

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 Fund’s volatility risk premium strategy will be implemented, in part, by selling (writing) put and call options, which
exposes the Fund to Tail Risk. Tail Risk is the risk that an event with a small probability of happening occurs (such as a
major market movement or sharp spike in the volatility of equity or bond markets), resulting in a large negative impact on
the Fund’s returns.

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.

This Fund is a non-diversified fund. Because the fund may invest in securities of smaller numbers of issuers, the Fund may be more
exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which
may, therefore, have a greater impact on the Fund’s Performance.

This Fund is not suitable for all investors. An investor considering the Fund should be able to tolerate potentially wide price
fluctuations. The Fund is new and has a limited operating history.

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.

DISCLOSURES

Stocks and bonds are subject to risks, including the possible loss of principal. International stocks that provide exposure to foreign markets involve special risks, such as currency fluctuations, differing financial reporting and regulatory standards, and economic and political instability. These risks are highlighted when stocks are from emerging markets. Stocks of small-cap companies are generally more volatile and not as readily marketable as those of larger companies. Government bonds and Treasury bills are subject to interest rate risk, but they are backed by the full faith and credit of the U.S. government if held to maturity. The repayment of principal and interest of a corporate bond are guaranteed by the issuing company, and subject to default and credit risks. Indices are unmanaged and not available for direct investment. Please discuss with your financial professional or agent the benefits and risks of these securities.

Index Methodology

The AQR DynamiQ Allocation IndexS (the “Index”) is a long only index providing exposure to futures on third-party equity indices primarily comprised of large-cap securities of U.S. and non-U.S. issuers from developed markets, and exposure to futures on U.S. and non-U.S. developed government fixed income securities.  The Index will target an average of 40% equity and 60% fixed income weighting over the long-term.  The exposures of the Index to equity and fixed income will vary based on a rules-based methodology that allocates to equity and fixed income based on several well-known investment styles, with the potential for substantially different weightings from the 40/60 target depending on both market conditions and the attractiveness of each asset according to signals within the Index methodology.

AQR DynamiQ Allocation Index is available within select index annuities issued by American General Life Insurance (AGL), Houston, TX. AGL does not issue product in New York. Please see product brochure for more information.

Withdrawals may be subject to federal and/or state income taxes. An additional 10% federal tax may apply if you make withdrawals or surrender your annuity before age 59½. Consult your tax advisor regarding your specific situation.

Interest earned in an index annuity is calculated using index performance over a specific term, subject to contract provisions, such as an index rate cap, spread or participation rate, which may limit or reduce the upside potential. The index rate cap is the maximum percentage of index performance that can be credited as interest for an index term. The spread is the minimum threshold or percentage that index performance must exceed to be credited interest. The participation rate is the percentage of index performance that is used to calculate interest in certain accounts.

“AQR” and the AQR DynamiQ Allocation Index are trademarks or service marks of AQR Capital Management, LLC or one of its affiliates (“AQR”) and have been licensed for use by American General Life Insurance Company (the “Company”) for use as a benchmark for an annuity (inclusive of all applicable riders, the “Product”). The Product is not sponsored, endorsed, sold or promoted by AQR, its affiliates, nor the calculation agent, and they do not provide any investment advice to the Company with respect to the Product or to owners of the Product, nor do they make any representation regarding the advisability of investing in the Product or obtaining exposure to the Index. The Index is constructed without regard to the investment needs or suitability of the Company, the Product, or any Product owners.  AQR and the Index’s calculation agent have no obligation or liability whatsoever with respect to, and make no representations regarding, the Product. AQR makes no representation regarding the ability of the Index to achieve its goals and disclaims all express or implied warranties, including any warranty of merchantability and fitness for a particular purpose or use, in connection with the Index, including, without limitation, any results to be obtained by tracking the Index.  Neither AQR nor the Index’s Calculation Agent guarantees the accuracy or completeness of the Index. NONE OF AQR OR ITS AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSION OR INTERRUPTIONS OF OR IN CONNECTION WITH THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR THE PRODUCT. 

The index is independently calculated by a third-party calculation agent. 

Hypothetical and simulated examples have many inherent limitations and are generally prepared with the benefit of hindsight. There are frequently sharp differences between simulated results and the actual results. There are numerous factors related to the markets in general or the implementation of any specific investment strategy, which cannot be fully accounted for in the preparation of simulated results and all of which can adversely affect actual results. No representation is being made that any account, product, or strategy will or is likely to achieve profits, losses, or results similar to those shown.

The AQR DynamiQ Allocation IndexSM (the “Index”) embeds an annual index cost in the calculations of the change in index value. This embedded index cost will reduce any change in index value, and it funds certain operational and licensing costs for the Index. Since it will affect the return of the Index, it may also impact the amount of interest credited to an index annuity; however, it is not a fee paid by the policy owner or received by the issuing insurance company. 

 The AQR DynamiQ Allocation Index methodology adjusts exposures to achieve a volatility target. It is possible that the index could realize a volatility greater or less than its target.

Individuals cannot invest directly in an index.

This website and its contents have been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. Any use of the information or data for commercial purposes or design of products is prohibited without the prior written consent of an authorized person of AQR.