AQR Multi-Asset Fund

AQRIX
  • daily nav $10.41
  • change $-0.13
  • daily return -1.23%
  • inception date 9/29/2010
  • AUM $456MM

As of July 19, 2024

  About the Fund

Investment Objective

Seeks total return. Total return consists of capital appreciation and income.

A Diversified Investment Approach for the Long Term

Asset allocation in traditional multi-asset class portfolios results in concentrated equity risk. The AQR Multi-Asset Fund invests by
allocating risk, rather than dollars, in a balanced manner across multiple asset classes.

Investment Approach

The AQR Multi-Asset Fund is built around diversified risk-balanced exposures to Equity Risk, Interest Rate Risk and Inflation Risk. This approach seeks to avoid excessive risk exposure to any single asset class and to maintain diversification throughout time.

The Fund invests globally across stocks, bonds, currencies and commodities, allocating smaller amounts of capital to assets that are forecasted to be more volatile and larger amounts to assets that are forecasted to be less volatile, in order to maintain diversification, target a consistent level of risk through time, and allow each risk category to contribute meaningully to the Fund.

Around these strategic risk allocations, the Fund seeks to add return by taking relative-value positions within each asset class, overweighting individual assets that are more attractive and underweighting (or, to a limited extent, shorting) those that we find less attractive. In addition, the Fund takes active directional positions on assets, resulting in tactical tilts that over or underweight individual assets and therefore asset classes.

By allocating risks in a balanced manner, adapting to market conditions and employing active security selection and asset allocation, the Fund is designed to generate attractive long-term risk-adjusted returns independent of the macroeconomic environment. Traditional multi-asset class portfolios that allocate by capital (e.g. 60% stocks and 40% bonds),  tend not to be risk managed throughout time and are reliant on strong economic growth environments in order to generate returns.

In pursuing this approach, the AQR Multi-Asset Fund may employ leverage and shorting, which we believe allows us to better manage risk, to more fully express our active views and to have the potential to provide more attractive total returns over the long-term.

Why Invest in the Multi-Asset Fund?

Additional Sources of Return
The Fund seeks to provide higher returns with similar levels of risk than traditional multi-asset class portfolios by investing in a broad range of asset classes including equities, fixed income, commodities, and developed and emerging market currencies.
A Measured Approach to Risk
In this Fund, risk is balanced across asset classes and managed to target a consistent level throughout time. The resulting portfolio is diversified and risk-targeted at each point in time giving each asset class an equal opportunity to contribute meaningfully to returns.
Active Asset Allocation and Security Selection
The Fund uses a systematic investment process based on historically-proven drivers of return to modestly tilt the portfolio towards assets and asset classes that are expected to outperform, and away from those expected to underperform.

Prior to January 30, 2019 the AQR Multi-Asset Fund was known as the AQR Risk Parity Fund.

  Portfolio Characteristics

Risk Allocation

As of June 30, 2024

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
% of Risk Allocation
Equity 43.96%
Fixed Income 27.35%
Commodities 20.01%
Currencies 6.16%
Inflation-Linked Bonds 2.53%

Top Positions in Each Category

As of June 30, 2024

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Credit/Currency % of Risk Allocation
CHF vs USD 2.53%
MXN vs USD 2.45%
NOK vs USD 2.04%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Equities % of Risk Allocation
S&P/TSE 60 Index Future 2.47%
FTSE MIB Index Future 2.15%
IBEX 35 Index Future 2.02%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Fixed Income % of Risk Allocation
U.S. 10 Yr Treasury Note Future 2.46%
U.K. 10 Yr Gilt Future 1.33%
U.S. 20 Yr Treasury Note Future 1.23%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Inflation % of Risk Allocation
Brent Crude Future 1.83%
Gold Future 1.68%
US Inflation-Linked Bond 1.54%

Portfolio Statistics

As of June 30, 2024

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Realized Beta Since Inception to S&P 500 0.37
Realized Beta Since Inception to BarCap Agg 0.78
Realized Since Inception Volatility 9.16%
Realized Since Inception Sharpe Ratio 0.55

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.

Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.

AQR Multi-Asset Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

  Performance

Annualized Total Returns

As of June 28, 2024

MTD YTD 1YR 3YR 5YR 10YR Since Inception 9/29/2010 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Asset Fund 0.10% 9.39% 15.06% 4.28% 6.29% 5.04% 6.14% 1.12% 1.01%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 2.53% 8.70% 15.42% 4.84% 9.01% 8.38% 9.36%
AQR Multi-Asset Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
MTD 0.10% 2.53%
YTD 9.39% 8.70%
1YR 15.06% 15.42%
3YR 4.28% 4.84%
5YR 6.29% 9.01%
10YR 5.04% 8.38%
Since Inception 9/29/2010 6.14% 9.36%
Gross Expense Ratio 1.12%
Net Expense Ratio* 1.01%

As of June 28, 2024

QTD YTD 1YR 3YR 5YR 10YR Since Inception 9/29/2010 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Asset Fund 0.96% 9.39% 15.06% 4.28% 6.29% 5.04% 6.14% 1.12% 1.01%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 2.60% 8.70% 15.42% 4.84% 9.01% 8.38% 9.36%
AQR Multi-Asset Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
QTD 0.96% 2.60%
YTD 9.39% 8.70%
1YR 15.06% 15.42%
3YR 4.28% 4.84%
5YR 6.29% 9.01%
10YR 5.04% 8.38%
Since Inception 9/29/2010 6.14% 9.36%
Gross Expense Ratio 1.12%
Net Expense Ratio* 1.01%

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.

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.

60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market.

AQR Multi-Asset Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

  Managers

Cliff Asness

Managing & Founding Principal

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

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

John M. Liew

Founding Principal

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

B.A., University of Chicago

Jordan Brooks

Principal

Ph.D., M.A., New York University

B.A., Boston College

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

Bryan T. Kelly

A.B., University of Chicago

M.A., University of California - San Diego

Ph.D., New York University

  Fees & Minimums

Investment Minimums

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Management Fee 0.60%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.20%
     All Other Expenses 0.31%
Acquired Fund Fees 0.01%
Gross Expenses 1.12%
Less: Expense Reimbursements 0.11%
Net Expenses* 1.01%

Acquired Fund Fees and Expenses reflect the expenses incurred indirectly by the Fund as a result of the Fund's investments in underlying money market mutual funds, exchange-traded funds or other pooled investment vehicles.

*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 0.20% for Class I Shares at least through April 30, 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.

AQR Multi-Asset Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 0.81%

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

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:
Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. 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. Risk allocation and attribution are based on estimated data, and may be subject to change.

Definitions:
S&P 500 Total Return Index: a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. 
MSCI World Index: a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets. 

Bloomberg Barclays Capital U.S. Aggregate Bond Index: a broad-based index used to represent investment grade bonds being traded in the United States. 

Barclays Capital Global Aggregate Bond Index: a broad-based index used to represent global investment-grade fixed incomes markets.

Realized Beta of Fund to Index: A measure of the amount the fund has tended to move given a move in the specified Index using three-day overlapping returns. A beta of 1 indicates that if the index has moved 10% over a three-day period, the fund has tended to move, on average, 10% over the same period. A beta of more than 1 indicates the fund has tended to move, on average, more than 10% in that case, and a beta of less than one indicates the fund has tended to move less than 10% in that case.

Modern Portfolio Theory: an investment theory which aims to maximize the expected return for a portfolio given a certain amount of portfolio risk, or minimize risk for a given level of expected return, by varying the proportions of various assets.

Risk Premia: the return earned for taking risk in a given asset class above the risk free rate.
Sharpe Ratio: a ratio which measures risk-adjusted performance.
Volatility: the standard deviation of the compounded returns of a financial instrument within a specific time horizon.

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. [AQR007191 Exp: 06/30/2021]."

 

© 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.

Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.

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.
©2024 AQR Funds. All rights reserved.