AQR Volatility Risk Premium Fund

QVPIX
  • daily nav $10.46
  • change $0.05
  • daily return 0.48%
  • inception date 11/1/2018
  • AUM $12MM

As of December 06, 2019

  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 November 30, 2019

MTD YTD 1YR Since Inception 11/1/2018 Gross Expense Ratio Net Expense Ratio*
AQR Volatility Risk Premium Fund 1.46% 9.54% 5.21% 4.43% 2.65% 0.77%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 1.45% 12.76% 8.57% 8.11%
AQR Volatility Risk Premium Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
QTD 1.46 % 1.45 %
YTD 9.54 % 12.76 %
1YR 5.21 % 8.57 %
Since Inception 11/1/2018 4.43 % 8.11 %
Gross Expense Ratio 2.65%
Net Expense Ratio* 0.77%

As of September 30, 2019

QTD YTD Since Inception 11/1/2018 Gross Expense Ratio Net Expense Ratio*
AQR Volatility Risk Premium Fund -0.68% 6.71% 2.08% 2.65% 0.77%
50% MSCI World Index + 50% 3-Month Treasury Bill Index 0.56% 9.64% 5.78%
AQR Volatility Risk Premium Fund 50% MSCI World Index + 50% 3-Month Treasury Bill Index
QTD -0.68 % 0.56 %
YTD 6.71 % 9.64 %
Since Inception 11/1/2018 2.08 % 5.78 %
Gross Expense Ratio 2.65%
Net Expense Ratio* 0.77%
  Managers

Roni Israelov

Principal

  • 20 years of experience
  • 11 years at AQR

Ph.D., M.S. Carnegie Mellon University

M.S., Georgia State University

B.S., Georgia Institute of Technology

Ronen Israel

Principal

  • 23 years of experience
  • 20 years at AQR

M.A., Columbia University

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

Jacques A. Friedman

Principal

  • 23 years of experience
  • 21 years at AQR

M.S., University of Washington

B.S., Brown University

  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 None
     All Other Expenses 2.08%
Acquired Fund Fees 0.02%
Gross Expenses 2.65%
Less: Fee Waivers and/or Expense Reimbursements 1.88%
Net Expenses* 0.77%

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.

© 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.