AQR Small Cap Multi-Style Fund

QSMLX
  • daily nav $18.10
  • change $-0.43
  • daily return -2.32%
  • inception date 3/26/2013
  • AUM $135MM

As of June 18, 2021

  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 March 31, 2021

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Fund Benchmark Fund - Index
Communication Services 0.55% 2.40% -1.85%
Consumer Discretionary 19.96% 14.54% 5.43%
Consumer Staples 4.15% 3.27% 0.88%
Energy 2.94% 2.62% 0.32%
Financials 14.32% 15.86% -1.54%
Health Care 15.61% 19.48% -3.86%
Industrials 19.43% 16.02% 3.41%
Information Technology 15.56% 12.67% 2.89%
Materials 3.21% 4.48% -1.27%
Real Estate 3.22% 5.92% -2.70%
Utilities 1.05% 2.75% -1.70%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of March 31, 2021

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% of Net Assets
MYR Group 0.82%
Kforce 0.81%
Ufp Industries 0.80%
PennyMac Fincl 0.78%
Veritiv 0.77%
Amkor Technology 0.76%
Boise Cas 0.75%
Mr. Cooper Group 0.69%
Medpace Holdings 0.67%
Builders FrstSrc 0.66%
Total 7.52%

Portfolio Statistics

As of March 31, 2021

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# of stocks 624
Price Momentum 1.58
EPS Growth (5 Year) 12.40
P/B 2.21
P/E (trailing 12 months) 17.73
Median Market Cap ($MM) 2,182
Average Market Cap ($MM) 3,183
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR Since Inception 3/26/2013 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Multi-Style Fund 1.31% 20.86% 73.46% 12.27% 13.91% 12.11% 0.72% 0.60%
Russell 2000 0.21% 15.30% 64.56% 13.06% 16.01% 12.73%
AQR Small Cap Multi-Style Fund Russell 2000
MTD 1.31% 0.21%
YTD 20.86% 15.30%
1YR 73.46% 64.56%
3YR 12.27% 13.06%
5YR 13.91% 16.01%
Since Inception 3/26/2013 12.11% 12.73%
Gross Expense Ratio 0.72%
Net Expense Ratio* 0.60%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR Since Inception 3/26/2013 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Multi-Style Fund 17.35% 17.35% 103.19% 12.93% 13.80% 11.97% 0.72% 0.60%
Russell 2000 12.70% 12.70% 94.85% 14.76% 16.35% 12.69%
AQR Small Cap Multi-Style Fund Russell 2000
QTD 17.35% 12.70%
YTD 17.35% 12.70%
1YR 103.19% 94.85%
3YR 12.93% 14.76%
5YR 13.80% 16.35%
Since Inception 3/26/2013 11.97% 12.69%
Gross Expense Ratio 0.72%
Net Expense Ratio* 0.60%
  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 $5 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 0.45%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.27%
Acquired Fund Fees None
Gross Expenses 0.72%
Less: Fee Waivers and/or Expense Reimbursements 0.12%
Net Expenses* 0.60%
  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.

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.

 

 

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.