AQR International Defensive Style Fund

ANDRX
  • daily nav $13.35
  • change $-0.08
  • daily return -0.60%
  • inception date 7/9/2012
  • AUM $208MM

As of September 18, 2020

  About the Fund

Investment Objective

The Fund seeks total return.

A Lower Risk Equity Solution

The AQR International Defensive Style Fund pursues a defensive strategy that seeks to provide exposure to international markets with lower risk through active stock selection, risk management and diversification.

 

Investment Approach

Many investors have become more focused on downside protection. Defensive Equity strategies seek to address this concern for stock market investors by focusing on stocks that have been more stable and less volatile, seeking to provide market-like returns with lower risk.

The investment universe for the Fund is comprised of International equities, including large-cap and mid-cap companies included in the MSCI World ex USA (Net) Index. 

The Fund seeks to invest in stocks that exhibit low statistical risk (low volatility and low market beta 1 1 Close Beta is a measure of a stock’s sensitivity to movements of the overall stock market. ) and exhibit high-quality characteristics, such as stable earnings and high profit margins. These stocks generally are less volatile than the market average, and have the potential to produce higher risk-adjusted returns over a full market cycle than capitalization-weighted market indices.

 

Why Invest in the AQR International Defensive Style Fund?

Seeks market-like returns with lower risk
Low-risk stocks have performed similarly to riskier stocks over the long term, suggesting that investors have not had to sacrifice significant returns when reducing risk in their portfolio. (Source: Frazzini, Andrea and Pedersen, Lasse Heje, 2014. “Betting Against Beta.” Journal of Financial Economics 111, 1-25.) The International Defensive Style Fund aims to deliver returns similar to its benchmark but with lower volatility.
Seeks to outperform during down markets
The Fund can provide investors with an attractive risk profile when they may need it most: during market downturns. In this market condition, Defensive Equity is likely to experience negative returns, but tends to fare better than the broader market.
Exposure to high quality companies
The Fund commonly targets stocks of companies that have demonstrated strong fiscal health, exhibiting characteristics such as stable earnings, high profitability and low operating and financial leverage. Many of these stocks have exhibited less volatility than their equity market counterparts and have the potential to produce higher risk-adjusted returns over a full market cycle than broader market indices.
  Portfolio Characteristics

Sector Exposures

As of June 30, 2020

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Fund Benchmark Fund - Index
Communication Services 10.93% 5.19% 5.75%
Consumer Discretionary 10.26% 10.63% -0.37%
Consumer Staples 20.87% 11.35% 9.52%
Energy 0.92% 4.36% -3.44%
Financials 13.09% 17.74% -4.66%
Health Care 12.95% 13.23% -0.28%
Industrials 8.70% 14.06% -5.37%
Information Technology 6.33% 8.62% -2.29%
Materials 3.83% 7.87% -4.05%
Real Estate 0.00% 2.94% -2.94%
Utilities 12.13% 4.01% 8.12%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of June 30, 2020

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% of Net Assets
Woolworths Grp 1.48%
L'Oreal 1.47%
KDDI 1.32%
Telstra Corp 1.28%
AGL Energy 1.26%
Roche Hldg 1.22%
Novo Nordisk 1.18%
Nestle 1.14%
Toyo Suisan 1.13%
Hoya 1.11%
Total 12.60%

Portfolio Statistics

As of June 30, 2020

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# of stocks 323
EPS Growth (5 Year) 5.22
P/B 1.72
P/E (trailing 12 months) 17.20
Debt/Equity 0.64
Median Market Cap ($MM) 16,255
Average Market Cap ($MM) 40,088
Predicted Beta 0.83
  Performance

Annualized Total Returns

As of August 31, 2020

MTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR International Defensive Style Fund 3.57% -1.62% 6.45% 2.78% 5.93% 6.18% 0.54% 0.45%
MSCI World Ex United States Net Index USD End of Day 5.16% -4.44% 5.96% 2.45% 4.83% 6.40%
AQR International Defensive Style Fund MSCI World Ex United States Net Index USD End of Day
MTD 3.57% 5.16%
YTD -1.62% -4.44%
1YR 6.45% 5.96%
3YR 2.78% 2.45%
5YR 5.93% 4.83%
Since Inception 7/9/2012 6.18% 6.40%
Gross Expense Ratio 0.54%
Net Expense Ratio* 0.45%

As of June 30, 2020

QTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR International Defensive Style Fund 13.42% -7.08% -1.15% 1.96% 3.69% 5.56% 0.54% 0.45%
MSCI World Ex United States Net Index USD End of Day 15.34% -11.49% -5.42% 0.84% 2.01% 5.52%
AQR International Defensive Style Fund MSCI World Ex United States Net Index USD End of Day
QTD 13.42% 15.34%
YTD -7.08% -11.49%
1YR -1.15% -5.42%
3YR 1.96% 0.84%
5YR 3.69% 2.01%
Since Inception 7/9/2012 5.56% 5.52%
Gross Expense Ratio 0.54%
Net Expense Ratio* 0.45%
  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

Michele L. Aghassi

Principal

  • 22 years of experience
  • 14 years at AQR

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Andrea Frazzini

Principal

  • 15 years of experience
  • 12 years at AQR

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

  Fees & Minimums

Investment Minimums

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Individual Investors Not Available
Institutional Investors $100,000
Accounts Offered by Financial Advisors $50 million or a total of $100 million combined per advisor across all Funds

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 0.40%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.14%
Acquired Fund Fees 0.00%
Gross Expenses 0.54%
Less: Fee Waivers and/or Expense Reimbursements 0.09%
Net Expenses* 0.45%
  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.

PRINCIPAL RISKS
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
Foreign and Emerging Market investing involves special risks such as currency fluctuations and political uncertainty. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

Foreign investing involves special risks such as currency fluctuations and political uncertainty. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs. 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 United States or abroad.

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.