Find a Fund

    Risk Parity II HV Fund

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

    Investment Objective

    Seeks total return. 

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.11 $0.06 0.50%
    As of: 2/27/2015
     
    • Risk parity is all about diversification. Whereas traditional portfolios focus on dollar-based allocation, risk parity portfolios focus on risk-based allocation.  

      AQR's Risk Parity II HV Fund invests globally across equity, fixed income and inflation-sensitive assets, allocating smaller amounts of capital to assets that are risky and larger amounts to assets that are less risky. 

      In building the portfolio, we seek assets that we believe are liquid and provide either a positive expected return or some portfolio diversification benefit over the long term. 

      We target balanced risk allocation across the three asset groups, but we have the ability to exploit tactical opportunities by making modest adjustments, or “tilts,” toward assets that we believe are relatively attractive and away from ones we believe are less attractive. 

      We believe that by spreading risks in a more balanced manner, and adapting to market conditions, the Fund can generate more stable returns over time than traditional approaches. As noted above, the Fund's strategy targets 15% annual volatility.

      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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
        Risk Parity II HV Fund 3.87% 3.87% 13.58% 5.59% 11/5/2012 1.91% 1.29% 1.15%
        60/40 S&P500/Barclays Aggregated (Mnthly Rblncd) -0.96% -0.96% 11.20% 12.30% - - - -
      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
        Risk Parity II HV Fund -0.36% 9.23% 9.23% 3.96% 11/5/2012 1.91% 1.29% 1.15%
        60/40 Portfolio* 3.74% 10.75% 10.75% 13.41% - - - -

      • Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
      • 60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Barclays Capital Aggregate Bond Index is a broad-based index used to represent investment grade bonds being traded in the United States.
      • 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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.

       

    • As of: 12/31/2014

      Risk Allocation

      Equity

      % of Risk Allocation
      Global Developed Equities 31.0%
      Global Emerging Equities 7.4%
      U.S. Mid Cap Equities 1.9%
      U.S. Small Cap Equities 1.9%
      Total Equity 42.3%

      Nominal Interest Rate

      % of Risk Allocation
      Global Developed Bonds 32.1%
      Total Nominal Interest Rate 32.1%

      Inflation

      % of Risk Allocation
      Commodities 21.5%
      Global Inflation-Linked Bonds 4.2%
      Total Inflation 25.6%

      Total 100.0%

      Top Positions in Each Category

      Equities

      % of Risk Allocation
      S&P 500 Index Future 14.5%
      Japan Topix Index Future 4.0%
      HSCEI China Index Future 3.4%
       

      Fixed Income

      % of Risk Allocation
      US 10 Yr Treasury Bond Future 17.0%
      Euro 10 Yr Bund Future 5.1%
      UK 10 Yr Gilt Future 2.6%
       

      Inflation

      % of Risk Allocation
      WTI Crude Future 4.6%
      Brent Crude Financial Future 2.7%
      Silver Future 2.3%
       

      Portfolio Statistics

      Realized Beta Since Inception to S&P 500 1
      Realized Beta Since Inception to BarCap Agg 2
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 0

      • 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.
      • Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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 0.95%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.06%
        Other Expenses  
            Dividends On Short Sales 0.08%
            All Other Expenses 0.82%
        Gross Expenses 1.91%
        Less: Fee Waivers –0.62%
        Net Expenses 1.29%
        Expense Cap+ 1.15%
        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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      • 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
      • Michael A. Mendelson

        AQR Principal Michael A. Mendelson

        Principal

        • 21 years of experience
        • 9 years at AQR
        • M.B.A., UCLA
        • S.M., S.B. (3), MIT
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.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: QRHNX - Fact Sheet

    Investment Objective

    Seeks total return. 

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.11 $0.05 0.40%
    As of: 2/27/2015
     
    • Risk parity is all about diversification. Whereas traditional portfolios focus on dollar-based allocation, risk parity portfolios focus on risk-based allocation.  

      AQR's Risk Parity II HV Fund invests globally across equity, fixed income and inflation-sensitive assets, allocating smaller amounts of capital to assets that are risky and larger amounts to assets that are less risky. 

      In building the portfolio, we seek assets that we believe are liquid and provide either a positive expected return or some portfolio diversification benefit over the long term. 

      We target balanced risk allocation across the three asset groups, but we have the ability to exploit tactical opportunities by making modest adjustments, or “tilts,” toward assets that we believe are relatively attractive and away from ones we believe are less attractive. 

      We believe that by spreading risks in a more balanced manner, and adapting to market conditions, the Fund can generate more stable returns over time than traditional approaches. As noted above, the Fund's strategy targets 15% annual volatility.

      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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
        Risk Parity II HV Fund 3.87% 3.87% 13.35% 5.33% 11/5/2012 2.28% 1.54% 1.40%
        60/40 S&P500/Barclays Aggregated (Mnthly Rblncd) -0.96% -0.96% 11.20% 12.30% - - - -
      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
        Risk Parity II HV Fund -0.38% 8.90% 8.90% 3.70% 11/5/2012 2.28% 1.54% 1.40%
        60/40 Portfolio* 3.74% 10.75% 10.75% 13.41% - - - -

      • Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
      • 60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Barclays Capital Aggregate Bond Index is a broad-based index used to represent investment grade bonds being traded in the United States.
      • 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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.

       

    • As of: 12/31/2014

      Risk Allocation

      Equity

      % of Risk Allocation
      Global Developed Equities 31.0%
      Global Emerging Equities 7.4%
      U.S. Mid Cap Equities 1.9%
      U.S. Small Cap Equities 1.9%
      Total Equity 42.3%

      Nominal Interest Rate

      % of Risk Allocation
      Global Developed Bonds 32.1%
      Total Nominal Interest Rate 32.1%

      Inflation

      % of Risk Allocation
      Commodities 21.5%
      Global Inflation-Linked Bonds 4.2%
      Total Inflation 25.6%

      Total 100.0%

      Top Positions in Each Category

      Equities

      % of Risk Allocation
      S&P 500 Index Future 14.5%
      Japan Topix Index Future 4.0%
      HSCEI China Index Future 3.4%
       

      Fixed Income

      % of Risk Allocation
      US 10 Yr Treasury Bond Future 17.0%
      Euro 10 Yr Bund Future 5.1%
      UK 10 Yr Gilt Future 2.6%
       

      Inflation

      % of Risk Allocation
      WTI Crude Future 4.6%
      Brent Crude Financial Future 2.7%
      Silver Future 2.3%
       

      Portfolio Statistics

      Realized Beta Since Inception to S&P 500 1
      Realized Beta Since Inception to BarCap Agg 2
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 0

      • 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.
      • Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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 0.95%
        Distribution (12b-1) Fee 0.25%
        Acquired Fund Fees 0.06%
        Other Expenses  
            Dividends On Short Sales 0.08%
            All Other Expenses 0.94%
        Gross Expenses 2.28%
        Less: Fee Waivers –0.74%
        Net Expenses 1.54%
        Expense Cap+ 1.40%
        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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      • 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
      • Michael A. Mendelson

        AQR Principal Michael A. Mendelson

        Principal

        • 21 years of experience
        • 9 years at AQR
        • M.B.A., UCLA
        • S.M., S.B. (3), MIT
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.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: QRHRX - Fact Sheet

    Investment Objective

    Seeks total return. 

    Performance
    NAV Change Daily Return
    NAV Change Daily Return
    $10.11 $0.05 0.50%
    As of: 2/27/2015
     
    • Risk parity is all about diversification. Whereas traditional portfolios focus on dollar-based allocation, risk parity portfolios focus on risk-based allocation.  

      AQR's Risk Parity II HV Fund invests globally across equity, fixed income and inflation-sensitive assets, allocating smaller amounts of capital to assets that are risky and larger amounts to assets that are less risky. 

      In building the portfolio, we seek assets that we believe are liquid and provide either a positive expected return or some portfolio diversification benefit over the long term. 

      We target balanced risk allocation across the three asset groups, but we have the ability to exploit tactical opportunities by making modest adjustments, or “tilts,” toward assets that we believe are relatively attractive and away from ones we believe are less attractive. 

      We believe that by spreading risks in a more balanced manner, and adapting to market conditions, the Fund can generate more stable returns over time than traditional approaches. As noted above, the Fund's strategy targets 15% annual volatility.

      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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
        Risk Parity II HV Fund 3.87% 3.87% -1.42% 9/3/2014 1.87% 1.19% 1.05%
        60/40 S&P500/Barclays Aggregated (Mnthly Rblncd) -0.96% -0.96% 11.20% 12.30% - - - -
      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
        Risk Parity II HV Fund -0.27% -5.10% 9/3/2014 1.87% 1.19% 1.05%
        60/40 Portfolio* 3.74% 10.75% 10.75% 13.41% - - - -

      • Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
      • 60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Barclays Capital Aggregate Bond Index is a broad-based index used to represent investment grade bonds being traded in the United States.
      • 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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.

       

    • As of: 12/31/2014

      Risk Allocation

      Equity

      % of Risk Allocation
      Global Developed Equities 31.0%
      Global Emerging Equities 7.4%
      U.S. Mid Cap Equities 1.9%
      U.S. Small Cap Equities 1.9%
      Total Equity 42.3%

      Nominal Interest Rate

      % of Risk Allocation
      Global Developed Bonds 32.1%
      Total Nominal Interest Rate 32.1%

      Inflation

      % of Risk Allocation
      Commodities 21.5%
      Global Inflation-Linked Bonds 4.2%
      Total Inflation 25.6%

      Total 100.0%

      Top Positions in Each Category

      Equities

      % of Risk Allocation
      S&P 500 Index Future 14.5%
      Japan Topix Index Future 4.0%
      HSCEI China Index Future 3.4%
       

      Fixed Income

      % of Risk Allocation
      US 10 Yr Treasury Bond Future 17.0%
      Euro 10 Yr Bund Future 5.1%
      UK 10 Yr Gilt Future 2.6%
       

      Inflation

      % of Risk Allocation
      WTI Crude Future 4.6%
      Brent Crude Financial Future 2.7%
      Silver Future 2.3%
       

      Portfolio Statistics

      Realized Beta Since Inception to S&P 500 1
      Realized Beta Since Inception to BarCap Agg 2
      Realized Since Inception Volatility 0
      Realized Since Inception Sharpe Ratio 0

      • 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.
      • Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
      • AQR Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      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 0.95%
        Distribution (12b-1) Fee None
        Acquired Fund Fees 0.06%
        Other Expenses  
            Dividends On Short Sales 0.08%
            All Other Expenses 0.86%
        Gross Expenses 1.87%
        Less: Fee Waivers –0.68%
        Net Expenses 1.19%
        Expense Cap+ 1.05%
        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 Risk Parity II HV Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above. This fund is new and has a limited operating history.
      • 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
      • Michael A. Mendelson

        AQR Principal Michael A. Mendelson

        Principal

        • 21 years of experience
        • 9 years at AQR
        • M.B.A., UCLA
        • S.M., S.B. (3), MIT
      • Yao Hua Ooi

        AQR Principal Yao Hua Ooi

        Principal

        • 10 years of experience
        • 10 years at AQR
        • B.S., B.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.