AQR Risk Parity II MV Fund

QRMNX
  • daily nav $9.15
  • change $0.00
  • daily return 0.00%
  • inception date 11/5/2012
  • AUM $92MM

As of September 18, 2020

  About the Fund

Investment Objective

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

Risk-Diversified Global Market Exposure

The Fund invests across a wide variety of global markets, including: developed and emerging market equities, fixed income and commodities.

Investment Approach

The Fund uses a risk budgeting approach to combine a large number of liquid, global risk premia into a diversified portfolio, which aims to provide positive total returns. We seek assets that we believe are liquid and provide either a positive expected return or some portfolio diversification benefit over the long-term. The strategy seeks to offer investors exposure to a number of global equity, fixed income, and commodity markets. The Fund attempts to draw on Modern Portfolio Theory in three ways: employing a broad investment opportunity set, maximizing diversification, and utilizing leverage to manage risk.

In allocating investments among asset classes, the strategy follows a “risk parity” approach. The “risk parity” approach to asset allocation seeks to balance the allocation of risk across asset classes (as measured by forecasted volatility, estimated potential loss, and other proprietary measures) when building a diversified portfolio. This means that lower-risk asset classes (such as global fixed income and inflation-linked government bonds) will generally have higher capital allocations than higher-risk asset classes (such as global developed and emerging market equities). This risk parity portfolio aims to have less equity risk than traditional 60/40 asset allocations do, and more investment in government bonds, and commodities. The Fund’s strategy will target a volatility of 10%. A “neutral” asset allocation targets an equal risk allocation from each of the three following major risk sources: equity risk, fixed income risk, and inflation risk.

The Fund is actively managed, and the fund managers will vary the Fund’s exposures to various asset classes based on the evaluation of investment opportunities within and across these asset classes. These shifts in allocations will be determined using models based on AQR’s general value and momentum investment philosophy, and may cause the Fund to deviate from a “neutral” position. Information that is evaluated to arrive at the Fund’s views includes, but is not limited to: global interest rates, earnings, cash flows, dividend yields, import/export flows, currency movements, sentiment indicators, trend indicators, inflation and growth forecasts and news feeds.

Why Invest in the Risk Parity II MV Fund?

Access to Risk Parity Strategy
The Fund delivers exposure to a risk parity asset allocation strategy in a mutual fund vehicle. A Risk Parity approach to asset allocation seeks to balance the allocation of risk across three major risk sources: equity risk, fixed income risk and inflation risk, and is considered a low beta strategy. Our research shows that historically this strategy has performed more consistently across a variety of economic environments than traditional approaches to asset allocation. (Source: Hurst, Brian, Johnson, Bryan W., Ooi, Yao Hua, 2010. “Understanding Risk Parity.” AQR white paper.)
Actively Managed Tactical Positioning
The strategy will dynamically adjust exposure to markets based on the fund manager’s views.
Risk Management
The Fund will incorporate a risk reduction process, stress testing, and volatility targeting to help manage risk while implementing the strategy.
  Portfolio Characteristics

Sector Exposure

As of June 30, 2020

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Equity % of Risk Allocation
Global Developed Equities 29.57%
Global Emerging Equities 6.27%
Total Equity 35.85%
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Nominal Interest Rate % of Risk Allocation
Global Developed Bonds 31.57%
Total Nominal Interest Rate 31.57%
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Inflation % of Risk Allocation
Commodities 26.73%
Global Inflation-Linked Bonds 5.85%
Total Inflation 32.58%
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Total 100.00%

Top Positions in Each Category

As of June 30, 2020

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Equities % of Risk Allocation
S&P 500 Index Future 15.47%
HSCEI China Index Future 3.22%
Russell 2000 Future 2.14%
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Fixed Income % of Risk Allocation
US 10 Yr Treasury Bond Future 20.12%
Euro 10 Yr Bund Future 5.11%
UK 10 Yr Gilt Future 2.13%
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Inflation % of Risk Allocation
Brent Crude Financial Future 6.66%
US Inflation-Linked Bond 5.22%
Gold Future 4.26%

Portfolio Statistics

As of June 30, 2020

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Realized Beta Since Inception to S&P 500 0.31
Realized Beta Since Inception to BarCap Agg 1.14
Realized Since Inception Volatility 8.43%
Realized Since Inception Sharpe Ratio 0.32
  Performance

Annualized Total Returns

As of August 31, 2020

MTD YTD 1YR 3YR 5YR Since Inception 11/5/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Parity II MV Fund 1.44% -0.76% 2.18% 5.91% 5.92% 3.70% 1.27% 1.08%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 3.99% 9.19% 16.20% 11.08% 10.61% 10.19%
AQR Risk Parity II MV Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
MTD 1.44% 3.99%
YTD -0.76% 9.19%
1YR 2.18% 16.20%
3YR 5.91% 11.08%
5YR 5.92% 10.61%
Since Inception 11/5/2012 3.70% 10.19%
Gross Expense Ratio 1.27%
Net Expense Ratio* 1.08%

As of June 30, 2020

QTD YTD 1YR 3YR 5YR Since Inception 11/5/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Parity II MV Fund 4.67% -5.41% -0.19% 5.62% 3.41% 3.14% 1.27% 1.08%
60/40 S&P 500 Index/Barclays US Aggregate Bond Index 13.32% 0.98% 8.58% 8.93% 8.41% 9.31%
AQR Risk Parity II MV Fund 60/40 S&P 500 Index/Barclays US Aggregate Bond Index
QTD 4.67% 13.32%
YTD -5.41% 0.98%
1YR -0.19% 8.58%
3YR 5.62% 8.93%
5YR 3.41% 8.41%
Since Inception 11/5/2012 3.14% 9.31%
Gross Expense Ratio 1.27%
Net Expense Ratio* 1.08%
  Managers

John M. Liew

Founding Principal

  • 27 years of experience
  • 22 years at AQR

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

B.A., University of Chicago

Ronen Israel

Principal

  • 24 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

  • 20 years of experience
  • 20 years at AQR

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

John J. Huss

Principal

  • 16 years of experience
  • 10 years at AQR

S.B., Massachusetts Institute of Technology

Michael A. Mendelson

Principal

  • 26 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

  • 15 years of experience
  • 15 years at AQR

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

  Fees & Minimums

Investment Minimums

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Individual Investors $1 Million
Institutional Investors None
Accounts Offered by Financial Advisors 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 0.60%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.39%
Acquired Fund Fees 0.03%
Gross Expenses 1.27%
Less: Fee Waivers and/or Expense Reimbursements 0.19%
Net Expenses* 1.08%
  Documents

Fund Literature

Fund Reporting

  • Complete Holdings

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.

The Adviser , on average, will target an annualized volatility level for the Fund of 10%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. The Adviser expects that the Fund’s targeted annualized forecasted volatility will typically range between 7% and 13%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

 

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. 
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.

 

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.

Performance shown prior to a share class’s inception date reflects the historical performance of the Fund’s Class I shares, calculated using the fees and expenses of the Class N or Class R6 shares, respectively.

DISCLOSURES

Stocks and bonds are subject to risks, including the possible loss of principal. International stocks that provide exposure to foreign markets involve special risks, such as currency fluctuations, differing financial reporting and regulatory standards, and economic and political instability. These risks are highlighted when stocks are from emerging markets. Stocks of small-cap companies are generally more volatile and not as readily marketable as those of larger companies. Government bonds and Treasury bills are subject to interest rate risk, but they are backed by the full faith and credit of the U.S. government if held to maturity. The repayment of principal and interest of a corporate bond are guaranteed by the issuing company, and subject to default and credit risks. Indices are unmanaged and not available for direct investment. Please discuss with your financial professional or agent the benefits and risks of these securities.

Index Methodology

The AQR DynamiQ Allocation IndexS (the “Index”) is a long only index providing exposure to futures on third-party equity indices primarily comprised of large-cap securities of U.S. and non-U.S. issuers from developed markets, and exposure to futures on U.S. and non-U.S. developed government fixed income securities.  The Index will target an average of 40% equity and 60% fixed income weighting over the long-term.  The exposures of the Index to equity and fixed income will vary based on a rules-based methodology that allocates to equity and fixed income based on several well-known investment styles, with the potential for substantially different weightings from the 40/60 target depending on both market conditions and the attractiveness of each asset according to signals within the Index methodology.

AQR DynamiQ Allocation Index is available within select index annuities issued by American General Life Insurance (AGL), Houston, TX. AGL does not issue product in New York. Please see product brochure for more information.

Withdrawals may be subject to federal and/or state income taxes. An additional 10% federal tax may apply if you make withdrawals or surrender your annuity before age 59½. Consult your tax advisor regarding your specific situation.

Interest earned in an index annuity is calculated using index performance over a specific term, subject to contract provisions, such as an index rate cap, spread or participation rate, which may limit or reduce the upside potential. The index rate cap is the maximum percentage of index performance that can be credited as interest for an index term. The spread is the minimum threshold or percentage that index performance must exceed to be credited interest. The participation rate is the percentage of index performance that is used to calculate interest in certain accounts.

“AQR” and the AQR DynamiQ Allocation Index are trademarks or service marks of AQR Capital Management, LLC or one of its affiliates (“AQR”) and have been licensed for use by American General Life Insurance Company (the “Company”) for use as a benchmark for an annuity (inclusive of all applicable riders, the “Product”). The Product is not sponsored, endorsed, sold or promoted by AQR, its affiliates, nor the calculation agent, and they do not provide any investment advice to the Company with respect to the Product or to owners of the Product, nor do they make any representation regarding the advisability of investing in the Product or obtaining exposure to the Index. The Index is constructed without regard to the investment needs or suitability of the Company, the Product, or any Product owners.  AQR and the Index’s calculation agent have no obligation or liability whatsoever with respect to, and make no representations regarding, the Product. AQR makes no representation regarding the ability of the Index to achieve its goals and disclaims all express or implied warranties, including any warranty of merchantability and fitness for a particular purpose or use, in connection with the Index, including, without limitation, any results to be obtained by tracking the Index.  Neither AQR nor the Index’s Calculation Agent guarantees the accuracy or completeness of the Index. NONE OF AQR OR ITS AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSION OR INTERRUPTIONS OF OR IN CONNECTION WITH THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR THE PRODUCT. 

The index is independently calculated by a third-party calculation agent. 

Hypothetical and simulated examples have many inherent limitations and are generally prepared with the benefit of hindsight. There are frequently sharp differences between simulated results and the actual results. There are numerous factors related to the markets in general or the implementation of any specific investment strategy, which cannot be fully accounted for in the preparation of simulated results and all of which can adversely affect actual results. No representation is being made that any account, product, or strategy will or is likely to achieve profits, losses, or results similar to those shown.

The AQR DynamiQ Allocation IndexSM (the “Index”) embeds an annual index cost in the calculations of the change in index value. This embedded index cost will reduce any change in index value, and it funds certain operational and licensing costs for the Index. Since it will affect the return of the Index, it may also impact the amount of interest credited to an index annuity; however, it is not a fee paid by the policy owner or received by the issuing insurance company. 

 The AQR DynamiQ Allocation Index methodology adjusts exposures to achieve a volatility target. It is possible that the index could realize a volatility greater or less than its target.

Individuals cannot invest directly in an index.

This website and its contents have been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. Any use of the information or data for commercial purposes or design of products is prohibited without the prior written consent of an authorized person of AQR.