AQR Small Cap Multi-Style Fund

QSERX
  • daily nav $19.43
  • change $0.43
  • daily return 2.26%
  • inception date 7/10/2014
  • AUM $117MM

As of November 05, 2024

  About the Fund

Investment Objective

Seeks long-term capital appreciation.

On March 15, 2021, AQR TM Small Cap Multi-Style Fund was reorganized into AQR Small Cap Multi-Style Fund.

Disciplined Multi-Factor Investment Process

The Fund seeks to outperform capitalization-weighted indices through a disciplined, multi-factor investment approach that provides exposure to well-known drivers of returns, or investment styles. 

Investment Approach

The Fund seeks to outperform a broad equity index, investing in rigorously researched "styles." Styles are systematic investment strategies that have historically provided long-term positive returns in excess of their benchmarks.

This Fund employs three styles—value, momentum and quality—to construct a portfolio of U.S. small-cap companies. In addition to these three styles exhibiting positive excess returns in the long run, they have historically generated returns with low correlations (or the tendency to move in sync) with one another. 1 1 Close Source: Israel, Ronen, and Maloney, Thomas, 2013. “Understanding Style Premia.” AQR white paper. Thus, a portfolio combining all three could help to provide a more robust, dependable stream of returns.

The Fund seeks to exploit the potential positive returns and diversification benefits of these investment styles by integrating all three into a single portfolio.  

 

Why Invest in the AQR Small Cap Multi-Style Fund?

Opportunity to Outperform
The Fund seeks to outperform its benchmark by using a systematic, rules-based approach to select stocks for the portfolio. The result is a porfolio constructed without emotion, based on historically proven drivers of returns such as value, momentum, and quality/profitability.
Integrated Investment Approach
Rather than creating distinct sleeves of stocks that exhibit the most extreme characteristics of each style, the Fund instead integrates these ideas into one investment view with the hope of identifying stocks in the universe that simultaneously exhibit qualities of all three styles.
Broadly Diversified Portfolio
The Fund invests in the full spectrum of stocks across the small cap universe. It seeks to benefit from holding numerous small and moderate-sized active positions, rather than fewer, more concentrated bets.
  Portfolio Characteristics

Sector Exposures

As of September 30, 2024

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Fund Benchmark Fund - Index
Communication Services 2.95% 2.69% 0.26%
Consumer Discretionary 11.89% 10.04% 1.84%
Consumer Staples 3.03% 2.78% 0.26%
Energy 4.54% 5.27% -0.73%
Financials 18.87% 17.99% 0.88%
Health Care 18.69% 17.53% 1.16%
Industrials 20.46% 17.05% 3.41%
Information Technology 15.45% 12.80% 2.64%
Materials 2.86% 4.52% -1.66%
Real Estate 1.25% 6.49% -5.24%
Utilities 0.00% 2.84% -2.84%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of September 30, 2024

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% of Net Assets
Mueller Ind 1.59%
Alkermes 1.43%
Mr Cooper Group 1.41%
Mercury General 1.37%
Jackson Finan 1.37%
Insight 1.32%
Ufp Industries 1.20%
Group 1 Auto 0.96%
Catalyst Pharms 0.95%
Boise Cas 0.94%
Total 12.54%

Portfolio Statistics

As of September 30, 2024

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# of stocks 438
Price Momentum 0.57
EPS Growth (5 Year) 12.77
P/B 1.79
P/E (trailing 12 months) 14.55
Median Market Cap ($MM) 1,452
Average Market Cap ($MM) 2,946

All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities. Please see disclosure section for a glossary of industry terms.

Funds that emphasize investments in smaller companies generally will experience greater price volatility.

  Performance

Annualized Total Returns

As of October 31, 2024

MTD YTD 1YR 3YR 5YR 10YR Since Inception 7/10/2014 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Multi-Style Fund -2.49% 8.12% 32.46% 3.72% 11.62% 8.36% 8.18% 0.67% 0.51%
Russell 2000 Total Return Index -1.44% 9.56% 34.07% -0.05% 8.50% 7.94% -
AQR Small Cap Multi-Style Fund Russell 2000 Total Return Index
MTD -2.49% -1.44%
YTD 8.12% 9.56%
1YR 32.46% 34.07%
3YR 3.72% -0.05%
5YR 11.62% 8.50%
10YR 8.36% 7.94%
Since Inception 7/10/2014 8.18% 8.96%
Gross Expense Ratio 0.67%
Net Expense Ratio* 0.51%

As of September 30, 2024

QTD YTD 1YR 3YR 5YR 10YR Since Inception 7/10/2014 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Multi-Style Fund 8.51% 10.89% 27.60% 6.28% 13.00% 9.24% 8.52% 0.67% 0.51%
Russell 2000 Total Return Index 9.27% 11.17% 26.76% 1.84% 9.39% 8.78% -
AQR Small Cap Multi-Style Fund Russell 2000 Total Return Index
QTD 8.51% 9.27%
YTD 10.89% 11.17%
1YR 27.60% 26.76%
3YR 6.28% 1.84%
5YR 13.00% 9.39%
10YR 9.24% 8.78%
Since Inception 7/10/2014 8.52% 9.16%
Gross Expense Ratio 0.67%
Net Expense Ratio* 0.51%

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.

The Russell 2000 Total Return Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index. One cannot invest directly in an index.

Funds that emphasize investments in smaller companies generally will experience greater price volatility.

  Managers

Cliff Asness

Managing & Founding Principal

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

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

Michele L. Aghassi

Principal

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Andrea Frazzini

Principal

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

John J. Huss

Principal

S.B., Massachusetts Institute of Technology

Laura Serban

A.B., M.S., Ph.D., Harvard University

  Fees & Minimums

Investment Minimums

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Individual Investors Not Available
Institutional Investors $100,000
Accounts Offered by Financial Advisors $50 million or $100 million aggregate investment across all series of the Trust

Reductions apply to certain eligibility groups. See “Investing With the AQR Funds” in the Fund’s prospectus.

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 0.45%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.01%
     All Other Expenses 0.21%
Acquired Fund Fees None
Gross Expenses 0.67%
Less: Expense Reimbursements 0.16%
Net Expenses* 0.51%

* As stated in the prospectus, the Adviser has contractually agreed to reimburse operating expenses of the Fund in an amount sufficient to limit certain Specified Expenses in the table above at no more than 0.05% for Class R6 Shares at least through January 28, 2025. "Specified Expenses" for this purpose include all Fund operating expenses other than management fees and 12b-1 fees and exclude interest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales, expenses related to class action claims, contingent expenses related to tax reclaim receipts, reorganization expenses and extraordinary expenses. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

Funds that emphasize investments in smaller companies generally will experience greater price volatility.

Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 0.50%

**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowings and repurchase agreements and dividend expense from investments on short sales, incurred directly by the Fund, none of which are paid to the Adviser. 

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.

Diversification does not eliminate the risk of losses.
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. Funds that emphasize investments in smaller companies generally will experience greater price volatility. 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 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 may 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.

 

 

© 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 investingTo 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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