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Name

As of 04/16/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

AQR Diversified Arbitrage Fund

ADANX | Fund

$11.92

$1.82 B

2.45%

$0.29

1.62%

Vitals

YTD Return

0.3%

1 yr return

3.3%

3 Yr Avg Return

0.3%

5 Yr Avg Return

6.9%

Net Assets

$1.82 B

Holdings in Top 10

49.0%

52 WEEK LOW AND HIGH

$11.9
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 1.62%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A

Min Investment

Standard (Taxable)

$1,000,000

IRA

N/A

Fund Classification

Fund Type

Open End Mutual Fund

Name

As of 04/16/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

AQR Diversified Arbitrage Fund

ADANX | Fund

$11.92

$1.82 B

2.45%

$0.29

1.62%

ADANX - Profile

Distributions

  • YTD Total Return 0.3%
  • 3 Yr Annualized Total Return 0.3%
  • 5 Yr Annualized Total Return 6.9%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.22%
DIVIDENDS
  • Dividend Yield 2.5%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    AQR Diversified Arbitrage Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Jan 15, 2009
  • Shares Outstanding
    N/A
  • Share Class
    N
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Todd Pulvino

Fund Description

The Fund seeks to outperform, after expenses, the ICE BofA US 3-Month Treasury Bill Index while seeking to control its tracking risk relative to this benchmark. The ICE BofA US 3-Month Treasury Bill Index is designed to measure the performance of a high-quality short-term cash-equivalent investment. An investment in the Fund is more volatile than an investment in Treasury Bills, and is not backed by the full faith and credit of the U.S. Government.The Fund uses a number of arbitrage investment strategies employed by hedge funds and proprietary trading desks of investment banks, including merger arbitrage, convertible arbitrage, and other kinds of arbitrage strategies and corporate event strategies described more fully below. In order to pursue these investment strategies, the Fund invests in a diversified portfolio of instruments, including equities, convertible securities, debt securities, loans (including unfunded loan commitments), warrants, options, swaps (including equity swaps, credit default swaps and credit default index swaps), futures contracts, forwards or other types of derivative instruments. The securities in which the Fund invests may be restricted and/or Rule 144A securities. The Sub-Adviser tactically allocates the Fund’s assets across arbitrage and alternative investment strategies with positive anticipated returns based on market conditions. The Fund may invest in or have exposure to companies of any size.The Sub-Adviser will employ hedging strategies with the intent of (i) reducing the risk associated with each of the arbitrage and corporate event strategies; (ii) keeping the overall volatility of the Fund’s net asset value low; and (iii) maintaining a low correlation with the overall equity market.The Fund will also engage extensively in short sales of securities. When the Fund sells a security short, it borrows the security from a third party and sells it at the then current market price. The Fund is then obligated to buy the security on a later date so that it can return the security to the lender. For arbitrage strategies, the Fund will generally buy securities and simultaneously sell securities short in amounts that are intended to result in an approximately neutral economic exposure to overall market movements.The Fund makes use of derivative instruments, which may be used for hedging purposes, as a substitute for investing in conventional securities and for investment purposes. The Fund will also use derivatives to increase its economic exposure, either long or short, to a particular security, currency or index. Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The Fund’s use of swaps, futures contracts, forward contracts and certain other derivative instruments may have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset underlying a derivative instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund did not use derivative instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset through a derivative instrument providing leveraged exposure to the asset and that derivative instrument increases in value, the gain to the Fund will be magnified. If that investment decreases in value, however, the loss to the Fund will also be magnified. A decline in the Fund’s assets due to losses magnified by the derivative instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations or to meet redemption requests when it may not be advantageous to do so. There is no assurance that the Fund’s use of derivative instruments providing enhanced exposure will enable the Fund to achieve its investment objective.The Fund invests in debt securities, which may be of any credit rating, maturity or duration, and which may include high-yield or “junk” bonds. A portion of the Fund’s assets will be held in cash or cash equivalent investments, including, but not limited to, interests in short-term investment funds, shares of money market or short-term bond funds and/or U.S. Government securities. In response to adverse market, economic or other conditions, such as the availability of attractive arbitrage and corporate event opportunities (or lack thereof), the Fund may temporarily invest a substantial portion of its assets in such cash or cash equivalent securities and during such periods the Fund may not achieve its investment objective. The Fund will invest in issuers in foreign countries, which may include emerging market countries.Examples of Arbitrage and Corporate Event Strategies:Merger Arbitrage: When engaging in merger arbitrage, the Sub-Adviser buys shares of the “target” company in a proposed merger or other reorganization between two companies. If the consideration in the transaction consists of stock of the acquirer, the Sub-Adviser will typically hedge the exposure to the acquirer by shorting the stock of the acquiring company.Convertible Arbitrage: When employing a convertible arbitrage strategy, the Sub-Adviser invests in convertible securities that are trading at discounts to their fundamental values and attempts to mitigate the various risks associated with investing in such convertible securities. In some cases, convertible securities trade at premiums relative to their fundamental values; in such cases the Fund would short sell the respective convertible security and employ various hedging strategies to mitigate the various risks associated with being short the convertible security.Corporate Events: The Sub-Adviser also employs other arbitrage and corporate event strategies when market opportunities arise. Examples of such investments can include distressed investments, IPOs (Initial Public Offerings), SEOs (Seasoned Equity Offerings), “price-pressure” trades, “dual-class” arbitrage and “closed-end fund” arbitrage among other strategies. Additionally, as a part of its corporate events strategy, the Fund will invest in Special Purpose Acquisition Companies (“SPACs”). SPACs, sometimes referred to as “blank check” companies, are publicly traded companies or similar special purpose entities that pool funds to seek potential acquisition opportunities. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. Government securities, money market fund securities and cash. The Fund seeks to capture a liquidity premium when these securities (initially a unit comprised of a share and a right or a warrant) are selling at a discount to their fundamental value.
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ADANX - Performance

Return Ranking - Trailing

Period ADANX Return Category Return Low Category Return High Rank in Category (%)
YTD 0.3% -11.6% 15.8% 28.00%
1 Yr 3.3% -33.0% 41.7% 2.91%
3 Yr 0.3%* -10.5% 13.4% 3.06%
5 Yr 6.9%* -4.8% 11.1% 3.61%
10 Yr 4.1%* -4.6% 7.6% 17.65%

* Annualized

Return Ranking - Calendar

Period ADANX Return Category Return Low Category Return High Rank in Category (%)
2023 1.7% -31.7% 23.2% 2.04%
2022 -3.6% -20.7% 10.7% 4.12%
2021 5.6% -12.4% 14.7% 73.33%
2020 23.2% -13.2% 12.9% 79.75%
2019 6.4% -11.7% 7.9% 68.57%

Total Return Ranking - Trailing

Period ADANX Return Category Return Low Category Return High Rank in Category (%)
YTD 0.3% -11.7% 15.8% 27.00%
1 Yr 3.3% -33.0% 41.7% 2.91%
3 Yr 0.3%* -10.5% 13.4% 3.06%
5 Yr 6.9%* -4.8% 11.1% 3.61%
10 Yr 4.1%* -4.6% 7.6% 17.65%

* Annualized

Total Return Ranking - Calendar

Period ADANX Return Category Return Low Category Return High Rank in Category (%)
2023 4.2% -31.7% 23.2% 2.04%
2022 -3.5% -20.7% 10.7% 4.12%
2021 6.0% -12.4% 14.7% 77.78%
2020 24.8% -12.7% 12.9% 26.58%
2019 8.3% -11.5% 13.2% 7.14%

NAV & Total Return History

ADANX - Holdings

Concentration Analysis

ADANX Category Low Category High ADANX % Rank
Net Assets 1.82 B 105 K 12.6 B 16.35%
Number of Holdings 734 5 2526 16.35%
Net Assets in Top 10 883 M -619 M 6.53 B 19.23%
Weighting of Top 10 49.03% 7.6% 96.1% 28.05%

Top 10 Holdings

  1. Limited Purpose Cash Investment Fund 17.56%
  2. U.S. Treasury Bills 6.83%
  3. U.S. Treasury Bills 5.84%
  4. U.S. Treasury Bills 4.42%
  5. U.S. Treasury Bills 3.55%
  6. U.S. Treasury Bills 2.93%
  7. U.S. Treasury Bills 2.64%
  8. U.S. Treasury Bills 1.98%
  9. U.S. Treasury Bills 1.70%
  10. Carnival Corp. 1.57%

Asset Allocation

Weighting Return Low Return High ADANX % Rank
Cash 		58.35% -225.56% 102.75% 94.23%
Bonds 		36.63% -1.04% 63.30% 31.73%
Convertible Bonds 		15.10% 0.00% 95.47% 13.46%
Preferred Stocks 		0.00% 0.00% 5.67% 4.81%
Other 		-1.61% -11.90% 43.69% 14.42%
Stocks 		-2.07% -57.09% 325.56% 43.27%

Bond Sector Breakdown

Weighting Return Low Return High ADANX % Rank
Cash & Equivalents 		51.54% 0.00% 100.00% 86.54%
Government 		28.63% 0.00% 73.33% 25.96%
Corporate 		27.67% 0.00% 100.00% 11.54%
Municipal 		0.52% 0.00% 3.82% 4.81%
Securitized 		0.05% 0.00% 27.70% 10.58%
Derivative 		-1.61% 0.00% 30.95% 9.62%

Bond Geographic Breakdown

Weighting Return Low Return High ADANX % Rank
US 		36.63% -1.04% 80.93% 28.85%
Non US 		0.00% -64.71% 9.68% 97.12%

ADANX - Expenses

Operational Fees

ADANX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.62% 0.73% 9.52% 48.54%
Management Fee 1.00% 0.13% 1.65% 38.46%
12b-1 Fee 0.25% 0.00% 1.00% 61.02%
Administrative Fee N/A 0.06% 0.40% N/A

Sales Fees

ADANX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.75% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

ADANX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

ADANX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 30.00% 483.00% 92.13%

ADANX - Distributions

Dividend Yield Analysis

ADANX Category Low Category High ADANX % Rank
Dividend Yield 2.45% 0.00% 0.75% 75.00%

Dividend Distribution Analysis

ADANX Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annually

Net Income Ratio Analysis

ADANX Category Low Category High ADANX % Rank
Net Income Ratio -1.22% -2.49% 4.20% 70.87%

Capital Gain Distribution Analysis

ADANX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually Annually

Distributions History

View More +

ADANX - Fund Manager Analysis

Managers

Todd Pulvino

Start Date

Tenure

Tenure Rank

Jan 15, 2009

13.38

13.4%

Todd C. Pulvino, Ph.D., A.M., M.S., is a Principal of the Sub-Adviser. Dr. Pulvino cofounded the Sub-Adviser in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. He earned a B.Sc. in mechanical engineering from University of Wisconsin-Madison, an M.S. in mechanical engineering from the California Institute of Technology, and an A.M. and Ph.D. in business economics from Harvard University.

Mark Mitchell

Start Date

Tenure

Tenure Rank

Jan 15, 2009

13.38

13.4%

Mark L. Mitchell, Ph.D., is a Principal of the Sub-Adviser. Dr. Mitchell cofounded the Sub-Adviser in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. Dr. Mitchell earned a B.B.A. in economics from the University of Louisiana at Monroe and a Ph.D. in applied economics from Clemson University.

Robert Bryant

Start Date

Tenure

Tenure Rank

May 01, 2019

3.08

3.1%

Robert F. Bryant is a Principal of the Sub-Adviser. Mr. Bryant joined the Sub-Adviser in 2002 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. He earned a B.S. in computer science and electrical engineering from the Massachusetts Institute of Technology.

Ashwin Thapar

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Ashwin Thapar is a Principal and senior member of the Research and Portfolio Management team at AQR Capital Management. In his role, he co-heads research and portfolio management efforts on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy products. Ashwin has published research on topics including currency hedging, deep value and alternative risk premia investing and is a frequent conference presenter on these topics. Ashwin earned a B.Sc. in finance and a B.A. in mathematics from the University of Pennsylvania, graduating summa cum laude in both fields.

John Eckert

Start Date

Tenure

Tenure Rank

May 01, 2022

0.08

0.1%

John Eckert is a Managing Director of AQR Arbitrage, LLC. Mr. Eckert joined the Sub-Adviser in 2010 and heads the convertible arbitrage team and is responsible for managing all aspects of the convertible arbitrage strategy including suggesting tactical allocations in multi-strategy funds. In addition, Mr. Eckert researches trade ideas for the event-driven credit portfolios. He earned a B.S. in industrial engineering from Northwestern University.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 30.59 6.3 9.42

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