AQR International Momentum Style Fund

AIONX
  • daily nav $18.82
  • change $-0.37
  • daily return -1.93%
  • inception date 12/17/2012
  • AUM $588MM

As of June 18, 2021

  About the Fund

Investment Objective

Seeks long-term capital appreciation.

On March 15, 2021, AQR TM International Momentum Style Fund was reorganized into AQR International Momentum Style Fund.

Investing in Continuing Price Trends Outside the U.S.

Through a systematic investment approach, the Fund is designed to capture momentum - the phenomenon that stocks which have performed well in the past relative to other stocks (winners) continue to perform well in the future, and stocks that have performed relatively poorly (losers) continue to perform poorly.

Investment Approach

The Fund invests in stocks of large- and mid-cap non-U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior 12 months relative to other stocks in the investment universe.

The Fund employs a systematic approach to construct the portfolio that starts by identifying the investment universe, ranks the stocks in the universe by their total return over the prior 12 months excluding the last month, selects those that rank in the top third, weights them by market capitalization, and rebalances at least quarterly.

The Fund is expected to have annual turnover in excess of 100%, and will therefore employ optimization and other sophisticated techniques to keep transaction costs as low as possible. The Fund will maintain flexibility to trade opportunistically in order to strike a balance between maintaining the desired exposure to positive momentum while attempting to keep transaction costs low.

Why Invest in the AQR International Momentum Style Fund?

Disciplined Investment Process
The Fund uses a systematic rules-based approach to select stocks for the portfolio. It ranks stocks according to momentum, capturing different signals including price, earnings announcement and residual momentum.
Potential to Outperform Over the Long Term
Stocks with positive momentum tend to outperform broad equity markets and growth style benchmarks over the long term.
Greater Diversification
Historically, momentum has been negatively correlated with value, and thus could provide diversification benefits when combined with value-driven strategies in an investor's portfolio. (Source: Asness, Clifford, Moskowitz, Tobias J., Pedersen, Lasse Heje, 2013.“Value and Momentum Everywhere.” Journal of Financial Economics 68, 929-985.)
  Portfolio Characteristics

Country Exposures

As of March 31, 2021

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Fund Benchmark Fund - Index
Australia 2.90% 6.35% -3.45%
Austria 0.15% 0.17% -0.01%
Belgium 0.39% 0.84% -0.45%
Canada 13.40% 9.72% 3.67%
Denmark 3.15% 2.15% 1.00%
Finland 1.40% 0.90% 0.50%
France 8.52% 10.05% -1.53%
Germany 10.16% 8.58% 1.57%
Hong Kong 2.46% 3.05% -0.59%
Ireland 0.00% 0.65% -0.65%
Israel 0.00% 0.54% -0.54%
Italy 2.55% 2.27% 0.28%
Japan 26.40% 22.40% 4.00%
Netherlands 6.99% 3.80% 3.19%
New Zealand 0.00% 0.23% -0.23%
Norway 0.85% 0.57% 0.28%
Portugal 0.17% 0.14% 0.03%
Singapore 0.59% 1.00% -0.41%
Spain 1.21% 2.15% -0.94%
Sweden 7.02% 3.25% 3.77%
Switzerland 5.17% 8.29% -3.12%
United Kingdom 6.53% 12.90% -6.37%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of March 31, 2021

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% of Net Assets
ASML Holding 2.66%
LVMH 2.20%
SoftBank Group 1.83%
RBC 1.83%
Shopify 1.68%
Prosus 1.59%
Siemens 1.57%
Sony Group 1.39%
BHP Grp 1.39%
Daimler 1.22%
Total 17.36%

Portfolio Statistics

As of March 31, 2021

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# of stocks 371
Price Momentum 0.72
EPS Growth (5 Year) 8.90
P/B 2.92
P/E (trailing 12 months) 27.59
Median Market Cap ($MM) 19,064
Average Market Cap ($MM) 70,343

Sector Exposures

As of March 31, 2021

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Fund Benchmark Fund - Index
Communication Services 5.59% 4.98% 0.61%
Consumer Discretionary 16.62% 11.96% 4.65%
Consumer Staples 3.12% 9.64% -6.52%
Energy 1.15% 4.32% -3.17%
Financials 13.96% 19.20% -5.24%
Health Care 7.29% 10.88% -3.60%
Industrials 20.27% 15.07% 5.20%
Information Technology 14.33% 9.12% 5.21%
Materials 12.92% 8.28% 4.64%
Real Estate 1.05% 2.85% -1.80%
Utilities 3.72% 3.70% 0.02%
Total 100.00% 100.00% 0.00%
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR Since Inception 12/17/2012 Gross Expense Ratio Net Expense Ratio*
AQR International Momentum Style Fund 3.16% 7.47% 33.67% 8.28% 9.24% 6.71% 0.84% 0.80%
MSCI World Ex United States Net Index USD End of Day 3.85% 11.44% 40.10% 8.67% 9.98% -
AQR International Momentum Style Fund MSCI World Ex United States Net Index USD End of Day
MTD 3.16% 3.85%
YTD 7.47% 11.44%
1YR 33.67% 40.10%
3YR 8.28% 8.67%
5YR 9.24% 9.98%
Since Inception 12/17/2012 6.71% 8.20%
Gross Expense Ratio 0.84%
Net Expense Ratio* 0.80%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR Since Inception 12/17/2012 Gross Expense Ratio Net Expense Ratio*
AQR International Momentum Style Fund 0.22% 0.22% 42.66% 5.99% 8.20% 5.95% 0.84% 0.80%
MSCI World Ex United States Net Index USD End of Day 4.04% 4.04% 45.86% 6.39% 8.92% -
AQR International Momentum Style Fund MSCI World Ex United States Net Index USD End of Day
QTD 0.22% 4.04%
YTD 0.22% 4.04%
1YR 42.66% 45.86%
3YR 5.99% 6.39%
5YR 8.20% 8.92%
Since Inception 12/17/2012 5.95% 7.69%
Gross Expense Ratio 0.84%
Net Expense Ratio* 0.80%
  Managers

Cliff Asness

Managing & Founding Principal

  • 29 years of experience
  • 23 years at AQR

Ph.D., M.B.A., University of Chicago

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

Ronen Israel

Principal

  • 25 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

  • 21 years of experience
  • 21 years at AQR

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

Michele L. Aghassi

Principal

  • 23 years of experience
  • 15 years at AQR

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Andrea Frazzini

Principal

  • 16 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 $1 Million
Accounts Offered by Financial Advisors None
Institutional Investors 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 0.40%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.19%
Acquired Fund Fees None
Gross Expenses 0.84%
Less: Fee Waivers and/or Expense Reimbursements 0.04%
Net Expenses* 0.80%
  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.
The Fund is not suitable for all investors.

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. Securities with positive Momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the Momentum style is out of favor, and during which the investment performance of a Fund using a Momentum strategy generally will suffer.

An investor considering the funds should be able to tolerate potentially wide price fluctuations. 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. Since the Fund may also attempt to increase its income or total return through the use of securities lending, it may be subject to the possibility of additional loss as a result of this investment technique.

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.

Investment in any of the funds described on this website carries substantial risk, including the possible loss of principal. There is no guarantee that the investment objectives of the funds will be achieved and returns may vary significantly over time. Investment in the funds described on this website is not suitable for all investors. Not all funds or share classes are available to all investors.

Fund offering documents contain risk warnings that are specific to each fund. Investors should only invest in a fund once they have thoroughly reviewed the prospectus and Key Investor Information Document (“KIID”) for the fund and carefully considered the relevant investment objectives, risks, charges and fees. Investors may wish to consult an independent financial advisor for personal and specific investment advice before investing.

Umbrella Fund:
The Fund is a sub-fund of AQR UCITS Funds, a Luxembourg based UCITS of which the management company is FundRock Management Company S.A.

The information contained on this website is for informational purposes only and does not constitute an offer or invitation to buy, sell or otherwise transact in any security. The information on this site is directed only at persons or entities in any jurisdiction or country where such access to information contained on this website and use of such information is not contrary to local law or regulation. Accordingly, all persons who access this website are required to inform themselves of and to comply with any such restrictions. The prospectus, KIID and the latest periodic reports for each fund are available free of charge.

Past performance does not guarantee future results.

AQR Capital Management (Europe) LLP, a U.K. limited liability partnership, is authorized by the U.K. Financial Conduct Authority (“FCA”) for advising on investments (except on Pension Transfers and Pension Opt Outs), arranging (bringing about) deals in investments, dealing in investments as agent, managing a UCITS, managing an unauthorized AIF and managing investments. This material has been approved to satisfy UK FCA COBS 4.

The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, insolvency and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Commodity prices react, among other things, to economic factors such as changing supply and demand relationships, weather conditions and other natural events, all of which may affect your investment.

The Fund is exposed to the currency markets which may be highly volatile. Large price swings can occur in such markets within very short periods and may result in your investment suffering a loss.

The Fund may be exposed to liquidity risk where, due to a lack of marketability, the Fund’s investments cannot be bought or sold quickly enough to prevent or minimize a loss.

The Fund is exposed to concentration risk as it may have increased exposure to a particular asset, reference rate or index. A fall in value of the asset, reference rate or index can result in a greater loss to the Fund which may be more than the amount borrowed or invested.

Your investment in the Fund is not guaranteed and is at risk. You may lose some or all of your investment.

The Fund relies upon the performance of the investment manager of the Fund. If the investment manager performs poorly the value of your investment is likely to be adversely affected.

More information in relation to risks in general may be found in the “Risk Factors” section of the prospectus.