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    Managed Futures Strategy HV Fund

    1. Class I/L
    2. Class N
    3. Class R6
    Ticker: QMHIX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. 


    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $11.98 $0.08 0.59%
    As of: 3/2/2015
     
    • We invest in over 100 liquid futures and forwards contracts, both long and short, across global equities, fixed income, currencies and commodities. Trades are executed based on trend-following signals that aim to go long rising markets and short falling markets. 

      By establishing “long” positions in assets that we believe will rise in price, and “short” positions for assets that are expected to decline in price, this Fund seeks to benefit from both up and down price movements. 

      What distinguishes AQR’s approach to managed-futures investing is our emphasis on diversification across several themes: 

      Signal Types — combines short-, long-term and overextended signals to anticipate trend reversals
      Investments — trades over 100 liquid contracts across four major asset classes
      Risk — position sizes based on risk, allocating more capital to less-risky instruments  

      AQR's proprietary trading algorithms and direct market access enable us to minimize transaction costs — another key differentiator for investors. The Fund's strategy targets 15% annual volatility.


      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      1. Monthly

        Period Ending: 1/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 7.21% 7.21% 29.17% 20.24% 7/16/2013 2.58% 1.72% 1.65%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.00% 0.03% 0.04% - - - -
        Newedge Trend Index 5.26% 5.26% 31.94% 17.73% - - - -
      2.  
      3. Quarterly

        Period Ending: 12/31/2014
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 14.79% 14.68% 14.68% 15.88% 7/16/2013 2.58% 1.72% 1.65%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.03% 0.03% 0.04% - - - -

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.

       

    • As of: 12/31/2014

      Asset Class Exposure

        % of Risk Allocation
      Currencies 32.1%
      Equities 24.2%
      Fixed Income 23.2%
      Commodities 20.4%

      Top Active Positions by Asset Class

      Commodities

      % of Risk Allocation
      Sugar No. 11 Future 2.2%
      Heating Oil Financial Future 2.0%
      RBOB Gasoline Financial Future 1.9%
      Total Commodities 6.1%

      Currencies

      % of Risk Allocation
      EUR vs SEK 2.3%
      USD vs SEK 2.2%
      USD vs AUD 2.1%
      Total Currencies 6.6%

      Equities

      % of Risk Allocation
      Japan Topix Index Future 2.1%
      E-Mini DJIA Index Future 1.9%
      E-Mini Nasdaq 100 Index Future 1.9%
      Total Equities 5.9%

      Fixed Income

      % of Risk Allocation
      Australia 3 Yr Bond Future 1.5%
      U.S. 10 Yr Treasury Note Future 1.4%
      U.S. 5 Yr Treasury Note Future 1.3%
      Total Fixed Income 4.1%

      Total 22.7%

      Portfolio Statistics

      Realized Since Inception Beta to S&P 500 1
      Realized Since Inception Beta to BarCap Agg -1
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 1

      • 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.
      • 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      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 1.45%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.07%
        Other Expenses  
            Dividends On Short Sales None
            All Other Expenses 1.06%
        Gross Expenses 2.58%
        Less: Fee Waivers –0.86%
        Net Expenses 1.72%
        Expense Cap+ 1.65%
        Expense Cap Expiration Date 4/30/2015
        + 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.

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: January 28, 2017

      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      • Clifford S. Asness, Founder

        AQR Founder and Managing Principal Clifford S. Asness

        Managing & Founding Principal

        • 23 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.S., B.S., University of Pennsylvania
      • John M. Liew, Founder

        AQR Cofounder John M. Liew

        Founding Principal

        • 22 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.A., University of Chicago
      • Brian K. Hurst

        AQR Principal Brian K. Hurst

        Principal

        • 20 years of experience
        • 16 years at AQR
        • B.S., University of Pennsylvania
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.S., University of Pennsylvania
      • Ari Levine

        Ari Levine, AQR

        • 7 years of experience
        • 7 years at AQR
        • B.S., B.S., University of Pennsylvania
        • M.S., University of Pennsylvania

      • 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: QMHNX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. 

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $11.95 $0.08 0.59%
    As of: 3/2/2015
     
    • We invest in over 100 liquid futures and forwards contracts, both long and short, across global equities, fixed income, currencies and commodities. Trades are executed based on trend-following signals that aim to go long rising markets and short falling markets. 

      By establishing “long” positions in assets that we believe will rise in price, and “short” positions for assets that are expected to decline in price, this Fund seeks to benefit from both up and down price movements. 

      What distinguishes AQR’s approach to managed-futures investing is our emphasis on diversification across several themes: 

      Signal Types — combines short-, long-term and overextended signals to anticipate trend reversals
      Investments — trades over 100 liquid contracts across four major asset classes
      Risk — position sizes based on risk, allocating more capital to less-risky instruments  

      AQR's proprietary trading algorithms and direct market access enable us to minimize transaction costs — another key differentiator for investors. The Fund's strategy targets 15% annual volatility.


      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      1. Monthly

        Period Ending: 1/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 7.23% 7.23% 28.84% 19.97% 7/16/2013 4.10% 1.97% 1.90%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.00% 0.03% 0.04% - - - -
        Newedge Trend Index 5.26% 5.26% 31.94% 17.73% - - - -
      2.  
      3. Quarterly

        Period Ending: 12/31/2014
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 14.69% 14.37% 14.37% 15.59% 7/16/2013 4.10% 1.97% 1.90%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.03% 0.03% 0.04% - - - -

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.

       

    • As of: 12/31/2014

      Asset Class Exposure

        % of Risk Allocation
      Currencies 32.1%
      Equities 24.2%
      Fixed Income 23.2%
      Commodities 20.4%

      Top Active Positions by Asset Class

      Commodities

      % of Risk Allocation
      Sugar No. 11 Future 2.2%
      Heating Oil Financial Future 2.0%
      RBOB Gasoline Financial Future 1.9%
      Total Commodities 6.1%

      Currencies

      % of Risk Allocation
      EUR vs SEK 2.3%
      USD vs SEK 2.2%
      USD vs AUD 2.1%
      Total Currencies 6.6%

      Equities

      % of Risk Allocation
      Japan Topix Index Future 2.1%
      E-Mini DJIA Index Future 1.9%
      E-Mini Nasdaq 100 Index Future 1.9%
      Total Equities 5.9%

      Fixed Income

      % of Risk Allocation
      Australia 3 Yr Bond Future 1.5%
      U.S. 10 Yr Treasury Note Future 1.4%
      U.S. 5 Yr Treasury Note Future 1.3%
      Total Fixed Income 4.1%

      Total 22.7%

      Portfolio Statistics

      Realized Since Inception Beta to S&P 500 1
      Realized Since Inception Beta to BarCap Agg -1
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 1

      • 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.
      • 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      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 1.45%
        Distribution (12b-1) Fee 0.25%
        Acquired Fund Fees 0.07%
        Other Expenses  
            Dividends On Short Sales None
            All Other Expenses 2.33%
        Gross Expenses 4.10%
        Less: Fee Waivers –2.13%
        Net Expenses 1.97%
        Expense Cap+ 1.90%
        Expense Cap Expiration Date 4/30/2015
        + 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.

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: January 28, 2017

      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      • Clifford S. Asness, Founder

        AQR Founder and Managing Principal Clifford S. Asness

        Managing & Founding Principal

        • 23 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.S., B.S., University of Pennsylvania
      • John M. Liew, Founder

        AQR Cofounder John M. Liew

        Founding Principal

        • 22 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.A., University of Chicago
      • Brian K. Hurst

        AQR Principal Brian K. Hurst

        Principal

        • 20 years of experience
        • 16 years at AQR
        • B.S., University of Pennsylvania
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.S., University of Pennsylvania
      • Ari Levine

        Ari Levine, AQR

        • 7 years of experience
        • 7 years at AQR
        • B.S., B.S., University of Pennsylvania
        • M.S., University of Pennsylvania

      • 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: QMHRX - Fact Sheet

    Investment Objective

    Seeks long-term absolute (positive) returns. 


    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $11.97 $0.08 0.59%
    As of: 3/2/2015
     
    • We invest in over 100 liquid futures and forwards contracts, both long and short, across global equities, fixed income, currencies and commodities. Trades are executed based on trend-following signals that aim to go long rising markets and short falling markets. 

      By establishing “long” positions in assets that we believe will rise in price, and “short” positions for assets that are expected to decline in price, this Fund seeks to benefit from both up and down price movements. 

      What distinguishes AQR’s approach to managed-futures investing is our emphasis on diversification across several themes: 

      Signal Types — combines short-, long-term and overextended signals to anticipate trend reversals
      Investments — trades over 100 liquid contracts across four major asset classes
      Risk — position sizes based on risk, allocating more capital to less-risky instruments  

      AQR's proprietary trading algorithms and direct market access enable us to minimize transaction costs — another key differentiator for investors. The Fund's strategy targets 15% annual volatility.


      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      1. Monthly

        Period Ending: 1/30/2015
          Month YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 7.21% 7.21% 28.60% 9/3/2014 2.52% 1.62% 1.55%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.00% 0.03% 0.04% - - - -
        Newedge Trend Index 5.26% 5.26% 31.94% 17.73% - - - -
      2.  
      3. Quarterly

        Period Ending: 12/31/2014
          Quarter YTD 1 Year 3 Year 5 Year Since Inception Inception Date Gross Expense Ratio Net Expense Ratio Expense Cap
        Managed Futures Strategy HV Fund 14.83% 19.94% 9/3/2014 2.52% 1.62% 1.55%
        Merrill Lynch 3 Month T-Bill Index 0.00% 0.03% 0.03% 0.04% - - - -

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.

       

    • As of: 12/31/2014

      Asset Class Exposure

        % of Risk Allocation
      Currencies 32.1%
      Equities 24.2%
      Fixed Income 23.2%
      Commodities 20.4%

      Top Active Positions by Asset Class

      Commodities

      % of Risk Allocation
      Sugar No. 11 Future 2.2%
      Heating Oil Financial Future 2.0%
      RBOB Gasoline Financial Future 1.9%
      Total Commodities 6.1%

      Currencies

      % of Risk Allocation
      EUR vs SEK 2.3%
      USD vs SEK 2.2%
      USD vs AUD 2.1%
      Total Currencies 6.6%

      Equities

      % of Risk Allocation
      Japan Topix Index Future 2.1%
      E-Mini DJIA Index Future 1.9%
      E-Mini Nasdaq 100 Index Future 1.9%
      Total Equities 5.9%

      Fixed Income

      % of Risk Allocation
      Australia 3 Yr Bond Future 1.5%
      U.S. 10 Yr Treasury Note Future 1.4%
      U.S. 5 Yr Treasury Note Future 1.3%
      Total Fixed Income 4.1%

      Total 22.7%

      Portfolio Statistics

      Realized Since Inception Beta to S&P 500 1
      Realized Since Inception Beta to BarCap Agg -1
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 1

      • 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.
      • 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 Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      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 1.45%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.07%
        Other Expenses  
            Dividends On Short Sales None
            All Other Expenses 1.00%
        Gross Expenses 2.52%
        Less: Fee Waivers –0.90%
        Net Expenses 1.62%
        Expense Cap+ 1.55%
        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.

      • 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, 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 and Style Premia Alternative Fund: April 30, 2015
        Defensive Style Funds, Momentum Style Funds, Multi-Style Funds, International Equity Fund and Global Equity Fund: January 28, 2016
        Equity Market Neutral Fund, Global Macro Fund and Style Premia Alternative Fund LV: April 30, 2016
        TM Multi-Style Funds: January 28, 2017

      • AQR Managed Futures Strategy HV Fund: 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. Concentration generally will lead to greater price volatility. 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.
      • Clifford S. Asness, Founder

        AQR Founder and Managing Principal Clifford S. Asness

        Managing & Founding Principal

        • 23 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.S., B.S., University of Pennsylvania
      • John M. Liew, Founder

        AQR Cofounder John M. Liew

        Founding Principal

        • 22 years of experience
        • 16 years at AQR
        • Ph.D., M.B.A., University of Chicago
        • B.A., University of Chicago
      • Brian K. Hurst

        AQR Principal Brian K. Hurst

        Principal

        • 20 years of experience
        • 16 years at AQR
        • B.S., University of Pennsylvania
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.S., University of Pennsylvania
      • Ari Levine

        Ari Levine, AQR

        • 7 years of experience
        • 7 years at AQR
        • B.S., B.S., University of Pennsylvania
        • M.S., University of Pennsylvania

      • 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
      Data Downloads
      Complete Holdings
      Daily Price History
      Monthly Return History
      Analyst Data Pack

    • 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.