AQR Multi-Asset Fund

AQRIX
  • daily nav $10.46
  • change $-0.04
  • daily return -0.38%
  • inception date 9/29/2010
  • AUM $132MM

As of June 18, 2021

  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.
  Portfolio Characteristics

Risk Allocation

As of March 31, 2021

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Equity % of Risk Allocation
Global Developed Equities 45.79%
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Nominal Interest Rate % of Risk Allocation
Global Developed Bonds 20.67%
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Inflation % of Risk Allocation
Commodities 22.75%
Global Inflation-Linked Bonds 4.85%
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Credit/Currency % of Risk Allocation
Emerging Currencies 5.94%

Top Positions in Each Category

As of March 31, 2021

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Credit/Currency % of Risk Allocation
South African Rand 3.49%
Mexican Peso 2.83%
South Korean Won 1.81%
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Equities % of Risk Allocation
DJ Euro Stoxx 50 Future 7.23%
FTSE MIB Index Future 4.06%
Japan Topix Index Future 1.55%
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Fixed Income % of Risk Allocation
US 10 Yr Treasury Bond Future 15.33%
US 5 Yr Treasury Bond Future 5.38%
Australia 10 Yr Bond Future 3.32%
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Inflation % of Risk Allocation
US Inflation-Linked Bond 7.74%
Brent Crude Financial Future 7.66%
LME Copper 4.72%

Portfolio Statistics

As of March 31, 2021

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Realized Beta Since Inception to S&P 500 0.36
Realized Beta Since Inception to BarCap Agg 0.78
Realized Since Inception Volatility 9.03%
Realized Since Inception Sharpe Ratio 0.61
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR 10YR Since Inception 9/29/2010 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Asset Fund 2.71% 8.26% 21.19% 7.96% 8.58% 5.84% 6.58% 1.15% 0.99%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 0.55% 6.49% 22.73% 13.13% 11.72% 10.08% 10.57%
AQR Multi-Asset Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
MTD 2.71% 0.55%
YTD 8.26% 6.49%
1YR 21.19% 22.73%
3YR 7.96% 13.13%
5YR 8.58% 11.72%
10YR 5.84% 10.08%
Since Inception 9/29/2010 6.58% 10.57%
Gross Expense Ratio 1.15%
Net Expense Ratio* 0.99%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR 10YR Since Inception 9/29/2010 Gross Expense Ratio Net Expense Ratio*
AQR Multi-Asset Fund 1.73% 1.73% 17.47% 6.00% 7.48% 5.69% 6.06% 1.15% 0.99%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 2.31% 2.31% 31.71% 12.24% 11.15% 9.87% 10.33%
AQR Multi-Asset Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
QTD 1.73% 2.31%
YTD 1.73% 2.31%
1YR 17.47% 31.71%
3YR 6.00% 12.24%
5YR 7.48% 11.15%
10YR 5.69% 9.87%
Since Inception 9/29/2010 6.06% 10.33%
Gross Expense Ratio 1.15%
Net Expense Ratio* 0.99%
  Managers

John M. Liew

Founding Principal

  • 28 years of experience
  • 23 years at AQR

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

B.A., University of Chicago

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

John J. Huss

Principal

  • 17 years of experience
  • 11 years at AQR

S.B., Massachusetts Institute of Technology

Michael A. Mendelson

Principal

  • 27 years of experience
  • 15 years at AQR

M.B.A., University of California, Los Angeles

S.M., S.B. (3), Massachusetts Institute of Technology

Yao Hua Ooi

Principal

  • 16 years of experience
  • 16 years at AQR

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

  Fees & Minimums

Investment Minimums

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Accounts Offered by Financial Advisors None
Institutional Investors None
Individual Investors $5 Million

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 0.60%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.17%
     All Other Expenses 0.36%
Acquired Fund Fees 0.02%
Gross Expenses 1.15%
Less: Fee Waivers and/or Expense Reimbursements 0.16%
Net Expenses* 0.99%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 0.82%
  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:
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]."

 

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.