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    Diversified Arbitrage Fund

    1. Class I
    2. Class N
    3. Class R6
    Ticker: ADAIX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. Fund closed to new investors.

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.14 $0.00 0.00%
    As of: 7/2/2015
     
    • Arbitrage strategies seek to exploit mispricings in markets. They do this by looking for two related assets that are trading at different prices, then buy the cheaper one and "short" — that is, borrow and sell — the more expensive one. The difference between the prices is the expected profit of the trade. AQR's Diversified Arbitrage Fund invests in three primary arbitrage strategies: 

      Merger Arbitrage — consists of buying shares of the target company in a proposed merger, and hedging the exposure to the acquirer by shorting the stock of the acquiring company

      Convertible Arbitrage — consists of buying convertible securities and attempting to mitigate the risks associated with this investment by shorting the stock of the issuer

      Event-Driven Investments — involves various corporate actions where very similar assets begin to trade at different prices (e.g., the different share classes of a public company's stock)

      Over time, we seek to balance the Fund's exposure equally among the three while maintaining the ability to make tactical tilts based on each strategy's conditional attractiveness. 

      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Monthly

        Period Ending: 6/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.49% -0.10% -6.45% -0.56% 0.86% 2.18% 1/16/2009 1.96% 1.96% 1.20%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -
      2.  
      3. Quarterly

        Period Ending: 6/30/2015
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.20% -0.10% -6.45% -0.56% 0.86% 2.18% 1/16/2009 1.96% 1.96% 1.20%
        Merrill Lynch 3 Month T-Bill Index 0.01% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -

      • 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.
      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • The Merrill Lynch 3 Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.

       

    • As of: 3/31/2015

      Strategy Exposures

        Long Positions as % of Net Assets Short Positions as % of Net Assets
      Convertible Arbitrage 53.7% -41.3%
      Merger Arbitrage 44.1% -18.0%
      SPACs 12.6% 0.0%
      Credit 10.7% -5.7%
      Dual Class Stocks 5.9% 0.0%
      Other 13.9% -12.3%
      Other 1.7% -1.5%
      Total 142.6% -78.8%

      Sector Exposures

        % of Long Exposure
      Consumer Discretionary 9.8%
      Consumer Staples 4.7%
      Energy 6.6%
      Financials 14.8%
      Health Care 7.5%
      Industrials 5.0%
      Information Technology 22.6%
      Materials 3.3%
      Miscellaneous 10.2%
      SPACs 8.8%
      Telecommunication Services 1.3%
      Utilities 5.3%
      Total 100.0%

      Security Types

        % of Long Exposure
      Individual Stocks 50.0%
      Convertible Bonds 40.1%
      Debt 5.7%
      Close-end Funds 4.2%
      Total 100.0%

      Top 5 Long Holdings

      Google 5.4%
      Yahoo 4.9%
      SUNEDISON INC SUNE 2.000 10/01/18 CVT 3.0%
      VERISIGN INC VRSN 3.250 08/15/37 CVT 3.0%
      MICROCHIP TECHNOLOGY INC MCHP 2.125 12/15/37 CVT 2.6%

      Top 5 Short Holdings

      CDX.NA.HY -8.7%
      E-Mini S&P 500 Index Future -5.6%
      Alibaba -3.7%
      SunEdisn -3.2%
      U.S. 2 Yr Treasury Note Future -2.9%

      Portfolio Statistics

      # of long holdings 243
      # of short holdings 146

      • 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.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Investment Minimums

        Individual Investors $5 Million
        Institutional Investors $100,000
        Fee-based Accounts Offered By Financial Advisors None
        To be eligible for Class I Shares, a financial advisor must invest a minimum of $100,000 across all client accounts. Certain other categories of investors may invest at a reduced minimum. See Prospectus for details.
      2.  
      3. Shareholder Fees

        Sales Load None
        Deferred Sales Load None
        Redemption Fees None
      1. Annual Fund Operating Expenses

        Management Fee 1.00%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.08%
        Other Expenses  
            Dividends On Short Sales 0.68%
            All Other Expenses 0.20%
        Gross Expenses 1.96%
        Less: Fee Waivers 0.00%
        Net Expenses 1.96%
        Expense Cap+ 1.20%
        Expense Cap Expiration Date 4/30/2016
        + The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the Total Annual Fund Operating Expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short and borrowing costs and extraordinary expenses. See the Prospectus for additional details.

      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      • Ronen Israel

        AQR Principal Ronen Israel

        Principal

        • 18 years of experience
        • 15 years at AQR
        • M.A., Columbia University
        • B.S., B.A.S., University of Pennsylvania
      • Lars N. Nielsen

        AQR Principal Lars Nielsen

        Principal

        • 15 years of experience
        • 15 years at AQR
        • M.Sc., B.Sc., University of Copenhagen
      • Mark L. Mitchell, CNH Founder

        CNH Principal Mark L. Mitchell

        Co-Founder and Principal, CNH Partners

        • 27 years of experience
        • 14 years at AQR
        • Ph.D., Clemson University
        • B.B.A., University of Louisiana at Monroe
      • Todd C. Pulvino, CNH Founder

        CNH Principal Todd Pulvino

        Co-Founder and Principal, CNH Partners

        • 17 years of experience
        • 14 years at AQR
        • Ph.D., A.M., Harvard University
        • M.S., California Institute of Technology
        • B.Sc., University of Wisconsin-Madison

      • Cliff Asness, Brian Hurst, Ari Levine and Yao Hua Ooi are Registered Representatives of ALPS Distributors, Inc.

    • Quarterly Updates
      Commentary
      Performance Attribution
      Quarterly Review Book
    Ticker: ADANX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. Fund closed to new investors.

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.09 $0.00 0.00%
    As of: 7/2/2015
     
    • Arbitrage strategies seek to exploit mispricings in markets. They do this by looking for two related assets that are trading at different prices, then buy the cheaper one and "short" — that is, borrow and sell — the more expensive one. The difference between the prices is the expected profit of the trade. AQR's Diversified Arbitrage Fund invests in three primary arbitrage strategies: 

      Merger Arbitrage — consists of buying shares of the target company in a proposed merger, and hedging the exposure to the acquirer by shorting the stock of the acquiring company

      Convertible Arbitrage — consists of buying convertible securities and attempting to mitigate the risks associated with this investment by shorting the stock of the issuer

      Event-Driven Investments — involves various corporate actions where very similar assets begin to trade at different prices (e.g., the different share classes of a public company's stock)

      Over time, we seek to balance the Fund's exposure equally among the three while maintaining the ability to make tactical tilts based on each strategy's conditional attractiveness. 


      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Monthly

        Period Ending: 6/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.59% -0.30% -6.64% -0.80% 0.58% 1.90% 1/16/2009 2.20% 2.20% 1.45%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -
      2.  
      3. Quarterly

        Period Ending: 6/30/2015
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.30% -0.30% -6.64% -0.80% 0.58% 1.90% 1/16/2009 2.20% 2.20% 1.45%
        Merrill Lynch 3 Month T-Bill Index 0.01% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -

      • 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.
      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • The Merrill Lynch 3 Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.

       

    • As of: 3/31/2015

      Strategy Exposures

        Long Positions as % of Net Assets Short Positions as % of Net Assets
      Convertible Arbitrage 53.7% -41.3%
      Merger Arbitrage 44.1% -18.0%
      SPACs 12.6% 0.0%
      Credit 10.7% -5.7%
      Dual Class Stocks 5.9% 0.0%
      Other 13.9% -12.3%
      Other 1.7% -1.5%
      Total 142.6% -78.8%

      Sector Exposures

        % of Long Exposure
      Consumer Discretionary 9.8%
      Consumer Staples 4.7%
      Energy 6.6%
      Financials 14.8%
      Health Care 7.5%
      Industrials 5.0%
      Information Technology 22.6%
      Materials 3.3%
      Miscellaneous 10.2%
      SPACs 8.8%
      Telecommunication Services 1.3%
      Utilities 5.3%
      Total 100.0%

      Security Types

        % of Long Exposure
      Individual Stocks 50.0%
      Convertible Bonds 40.1%
      Debt 5.7%
      Close-end Funds 4.2%
      Total 100.0%

      Top 5 Long Holdings

      Google 5.4%
      Yahoo 4.9%
      SUNEDISON INC SUNE 2.000 10/01/18 CVT 3.0%
      VERISIGN INC VRSN 3.250 08/15/37 CVT 3.0%
      MICROCHIP TECHNOLOGY INC MCHP 2.125 12/15/37 CVT 2.6%

      Top 5 Short Holdings

      CDX.NA.HY -8.7%
      E-Mini S&P 500 Index Future -5.6%
      Alibaba -3.7%
      SunEdisn -3.2%
      U.S. 2 Yr Treasury Note Future -2.9%

      Portfolio Statistics

      # of long holdings 243
      # of short holdings 146

      • 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.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Investment Minimums

        Individual Investors $1 Million
        Institutional Investors None
        Fee-based Accounts Offered By Financial Advisors None
        Certain other categories of investors may invest in Class N shares at a reduced minimum. See Prospectus for details.
      2.  
      3. Shareholder Fees

        Sales Load None
        Deferred Sales Load None
        Redemption Fees None
      1. Annual Fund Operating Expenses

        Management Fee 1.00%
        Distribution (12b-1) Fee 0.25%
        Acquired Fund Fees 0.08%
        Other Expenses  
            Dividends On Short Sales 0.68%
            All Other Expenses 0.19%
        Gross Expenses 2.20%
        Less: Fee Waivers 0.00%
        Net Expenses 2.20%
        Expense Cap+ 1.45%
        Expense Cap Expiration Date 4/30/2016
        + The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the Total Annual Fund Operating Expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short and borrowing costs and extraordinary expenses. See the Prospectus for additional details.

      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      • Ronen Israel

        AQR Principal Ronen Israel

        Principal

        • 18 years of experience
        • 15 years at AQR
        • M.A., Columbia University
        • B.S., B.A.S., University of Pennsylvania
      • Lars N. Nielsen

        AQR Principal Lars Nielsen

        Principal

        • 15 years of experience
        • 15 years at AQR
        • M.Sc., B.Sc., University of Copenhagen
      • Mark L. Mitchell, CNH Founder

        CNH Principal Mark L. Mitchell

        Co-Founder and Principal, CNH Partners

        • 27 years of experience
        • 14 years at AQR
        • Ph.D., Clemson University
        • B.B.A., University of Louisiana at Monroe
      • Todd C. Pulvino, CNH Founder

        CNH Principal Todd Pulvino

        Co-Founder and Principal, CNH Partners

        • 17 years of experience
        • 14 years at AQR
        • Ph.D., A.M., Harvard University
        • M.S., California Institute of Technology
        • B.Sc., University of Wisconsin-Madison

      • Cliff Asness, Brian Hurst, Ari Levine and Yao Hua Ooi are Registered Representatives of ALPS Distributors, Inc.

    • Quarterly Updates
      Commentary
      Performance Attribution
      Quarterly Review Book
    Ticker: QDARX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. Fund closed to new investors.

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.14 $0.01 0.10%
    As of: 7/2/2015
     
    • Arbitrage strategies seek to exploit mispricings in markets. They do this by looking for two related assets that are trading at different prices, then buy the cheaper one and "short" — that is, borrow and sell — the more expensive one. The difference between the prices is the expected profit of the trade. AQR's Diversified Arbitrage Fund invests in three primary arbitrage strategies: 

      Merger Arbitrage — consists of buying shares of the target company in a proposed merger, and hedging the exposure to the acquirer by shorting the stock of the acquiring company

      Convertible Arbitrage — consists of buying convertible securities and attempting to mitigate the risks associated with this investment by shorting the stock of the issuer

      Event-Driven Investments — involves various corporate actions where very similar assets begin to trade at different prices (e.g., the different share classes of a public company's stock)

      Over time, we seek to balance the Fund's exposure equally among the three while maintaining the ability to make tactical tilts based on each strategy's conditional attractiveness. 

      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Monthly

        Period Ending: 6/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.59% -0.10% -5.99% 9/3/2014 2.02% 2.02% 1.10%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -
      2.  
      3. Quarterly

        Period Ending: 6/30/2015
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Diversified Arbitrage Fund -0.20% -0.10% -5.99% 9/3/2014 2.02% 2.02% 1.10%
        Merrill Lynch 3 Month T-Bill Index 0.01% 0.01% 0.02% 0.06% 0.08% 0.10% - - - -

      • 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.
      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • The Merrill Lynch 3 Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.

       

    • As of: 3/31/2015

      Strategy Exposures

        Long Positions as % of Net Assets Short Positions as % of Net Assets
      Convertible Arbitrage 53.7% -41.3%
      Merger Arbitrage 44.1% -18.0%
      SPACs 12.6% 0.0%
      Credit 10.7% -5.7%
      Dual Class Stocks 5.9% 0.0%
      Other 13.9% -12.3%
      Other 1.7% -1.5%
      Total 142.6% -78.8%

      Sector Exposures

        % of Long Exposure
      Consumer Discretionary 9.8%
      Consumer Staples 4.7%
      Energy 6.6%
      Financials 14.8%
      Health Care 7.5%
      Industrials 5.0%
      Information Technology 22.6%
      Materials 3.3%
      Miscellaneous 10.2%
      SPACs 8.8%
      Telecommunication Services 1.3%
      Utilities 5.3%
      Total 100.0%

      Security Types

        % of Long Exposure
      Individual Stocks 50.0%
      Convertible Bonds 40.1%
      Debt 5.7%
      Close-end Funds 4.2%
      Total 100.0%

      Top 5 Long Holdings

      Google 5.4%
      Yahoo 4.9%
      SUNEDISON INC SUNE 2.000 10/01/18 CVT 3.0%
      VERISIGN INC VRSN 3.250 08/15/37 CVT 3.0%
      MICROCHIP TECHNOLOGY INC MCHP 2.125 12/15/37 CVT 2.6%

      Top 5 Short Holdings

      CDX.NA.HY -8.7%
      E-Mini S&P 500 Index Future -5.6%
      Alibaba -3.7%
      SunEdisn -3.2%
      U.S. 2 Yr Treasury Note Future -2.9%

      Portfolio Statistics

      # of long holdings 243
      # of short holdings 146

      • 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.
      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      1. Investment Minimums

        Individual Investors Not Available
        Institutional Investors $5 Million
        Fee-based Accounts Offered By Financial Advisors $50 Million
        Some financial intermediaries may impose different or additional eligibility and minimum requirements for Class R6 shares. See Prospectus for details.
      2.  
      3. Shareholder Fees

        Sales Load None
        Deferred Sales Load None
        Redemption Fees None
      1. Annual Fund Operating Expenses

        Management Fee 1.00%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.08%
        Other Expenses  
            Dividends On Short Sales 0.84%
            All Other Expenses 0.10%
        Gross Expenses 2.02%
        Less: Fee Waivers 0.00%
        Net Expenses 2.02%
        Expense Cap+ 1.10%
        Expense Cap Expiration Date 4/30/2016
        + The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the Total Annual Fund Operating Expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short and borrowing costs and extraordinary expenses. See the Prospectus for additional details.

      • The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
      • The Net Expense Ratio per the Fund’s latest Prospectus. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.
      • The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:

        Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund, Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund, Risk Parity II MV Fund, Risk Parity II HV Fund, Style Premia Alternative Fund LV and Style Premia Alternative Fund: April 30, 2016
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2017

      • AQR Diversified Arbitrage Fund: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. 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. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives 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.
      • Ronen Israel

        AQR Principal Ronen Israel

        Principal

        • 18 years of experience
        • 15 years at AQR
        • M.A., Columbia University
        • B.S., B.A.S., University of Pennsylvania
      • Lars N. Nielsen

        AQR Principal Lars Nielsen

        Principal

        • 15 years of experience
        • 15 years at AQR
        • M.Sc., B.Sc., University of Copenhagen
      • Mark L. Mitchell, CNH Founder

        CNH Principal Mark L. Mitchell

        Co-Founder and Principal, CNH Partners

        • 27 years of experience
        • 14 years at AQR
        • Ph.D., Clemson University
        • B.B.A., University of Louisiana at Monroe
      • Todd C. Pulvino, CNH Founder

        CNH Principal Todd Pulvino

        Co-Founder and Principal, CNH Partners

        • 17 years of experience
        • 14 years at AQR
        • Ph.D., A.M., Harvard University
        • M.S., California Institute of Technology
        • B.Sc., University of Wisconsin-Madison

      • Cliff Asness, Brian Hurst, Ari Levine and Yao Hua Ooi are Registered Representatives of ALPS Distributors, Inc.

    • Quarterly Updates
      Commentary
      Performance Attribution
      Quarterly Review Book

    • 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.

    • 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.