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Name

As of 04/15/2024

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 Alternative Risk Premia Fund

QRPNX | Fund

$11.72

$169 M

3.57%

$0.42

3.59%

Vitals

YTD Return

21.2%

1 yr return

28.7%

3 Yr Avg Return

19.1%

5 Yr Avg Return

7.1%

Net Assets

$169 M

Holdings in Top 10

57.5%

52 WEEK LOW AND HIGH

$11.7
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 3.59%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 179.00%

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 04/15/2024

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 Alternative Risk Premia Fund

QRPNX | Fund

$11.72

$169 M

3.57%

$0.42

3.59%

QRPNX - Profile

Distributions

  • YTD Total Return 21.2%
  • 3 Yr Annualized Total Return 19.1%
  • 5 Yr Annualized Total Return 7.1%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio -0.78%
DIVIDENDS
  • Dividend Yield 3.6%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    AQR Alternative Risk Premia Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Sep 19, 2017
  • Shares Outstanding
    N/A
  • Share Class
    N
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Yao Ooi

Fund Description

The Fund pursues its investment objective by aiming to provide exposure to five separate investment styles (“Styles”): value, momentum, carry, defensive and trend using both long and short positions within the following asset groups (“Asset Groups”): stocks, equity indices, bonds, currencies and commodities. The Fund will achieve its exposure to any of the Asset Groups by using derivatives or holding those assets directly. The Fund will also use derivatives for hedging purposes. The Fund implements the Styles by investing globally, including in both developed and emerging markets, in a broad range of instruments, including, but not limited to, equities, futures (including index futures, equity futures, interest rate futures, bond futures, commodity futures and currency futures), currency and commodity forwards, and swaps (including equity swaps, bond swaps, interest rate swaps, swaps on index futures, total return swaps, commodity swaps and swaps on commodity futures) (collectively, the “Instruments”). The Fund may invest in or have exposure to companies of any size. The Fund may also invest in other registered investment companies including exchange-traded funds (“ETFs”).The Fund’s exposure to equities includes securities of U.S. and non-U.S. issuers and equity indices representing the United States and non-U.S. countries, including, with respect to non-U.S. countries, those from both developed and emerging markets. For the bonds Asset Group, the Fund will have exposure to U.S. Government securities and sovereign debt issued by other developed and emerging market countries and bond indices representing such securities. The Fund may invest in debt securities of any credit rating, maturity or duration, which may include high-yield or “junk” bonds. From time to time, the Fund can have significant exposure to non-U.S. dollar denominated currencies, including emerging market currencies.The Fund is generally intended to have a low correlation to the equity, bond and credit markets. The Fund also is not designed to match the performance of any hedge fund index. In order to minimize market impact and reduce trading costs, where applicable, the Fund will utilize a proprietary approach to algorithmic trading. The Adviser will attempt to mitigate risk through diversification of holdings and through active monitoring of volatility, counterparties and other risk measures. There is no assurance, however, that the Fund will achieve its investment objective.The Styles employed by the Fund are:Value: Value strategies favor investments that appear cheap over those that appear expensive based on fundamental measures related to price, seeking to capture the tendency for relatively cheap assets to outperform relatively expensive assets. The Fund will seek to buy assets that are “cheap” and sell those that are “expensive.” Examples of value measures include using price-to-earnings and price-to-book ratios for selecting stocks.Momentum: Momentum strategies favor investments that have performed relatively well over those that have underperformed over the medium-term (i.e., one year or less), seeking to capture the tendency that an asset’s recent relative performance will continue in the near future. The Fund will seek to buy assets that recently outperformed their peers and sell those that recently underperformed. Examples of momentum measures include simple price momentum for selecting stocks and price- and yield-based momentum for selecting bonds.Carry: An asset’s “carry” is its expected return assuming market conditions, including its price, stay the same. Carry strategies favor investments with higher yields over those with lower yields, seeking to capture the tendency for higher-yielding assets to provide higher returns than lower-yielding assets. The Fund will seek to take long positions in high-yielding assets and short positions in low-yielding assets. An example of carry measures includes selecting currencies and bonds based on interest rates.Defensive: Defensive strategies favor investments with low-risk characteristics over those with high-risk characteristics, seeking to capture the tendency for lower risk and higher-quality assets to generate higher risk-adjusted returns than higher risk and lower-quality assets. The Fund will seek to buy low-risk, high-quality assets and sell high-risk, low-quality assets. An example of a defensive measure includes using beta (i.e., an investment’s sensitivity to the securities markets) to select stocks.Trend: Trend strategies favor investments that follow an identified positive or negative trend. The Adviser uses a proprietary, systematic and quantitative process that seeks to benefit from price and/or economic trends in equity index, bond, currency and commodity Instruments. The size and type (long or short) of the position taken will relate to various factors, including the Adviser’s systematic assessment of a trend and its likelihood of continuing as well as the Adviser’sestimate of the Instrument’s risk. The Fund may have both long and short positions in different assets depending on their respective price and/or economic trends. An example of a trend measure is using short-term prices (e.g., prices over a one to three month period) to select an equity index.The Fund is actively managed and the Fund’s exposures to Styles and Asset Groups will vary based on the Adviser’songoing evaluation of investment opportunities. The Fund expects to maintain exposure to all five Styles; however, not all Styles are represented within each Asset Group. The Adviser targets balanced-risk weights across both Styles and Asset Groups, which means that lower risk Styles and Asset Groups, as determined by the Adviser, will generally have higher notional allocations (i.e., greater leverage) than higher risk Styles and Asset Groups, as determined by the Adviser. Individual investments are sold or closed out during a rebalancing process, the frequency of which is expected to vary depending on the Adviser’s ongoing evaluation of certain factors including changes in market conditions and how much the actual portfolio deviates from the target portfolio.The Adviser will consider the potential federal income tax impact on a shareholders’ after-tax investment return of certain trading decisions, including but not limited to, selling or closing out of Instruments to realize losses, or to refrain from selling or closing out of Instruments to avoid realizing gains, when determined by the Adviser to be appropriate. The Adviser will also take into consideration various tax rules pertaining to holding periods, wash sales and tax straddles.The Fund’s use of futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an 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 Instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the asset class and that 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 be magnified. A decline in the Fund’s assets due to losses magnified by the 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 Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.The Adviser, on average, will target an annualized volatility level for the Fund of 8%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. The Adviser expects that the Fund’s targeted annualized forecasted volatility will typically range between 6% and 12%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above.The Fund’s strategy engages in frequent portfolio trading which may result in a higher portfolio turnover rate than a fund with less frequent trading, and correspondingly greater brokerage commissions and other transactional expenses, which are borne by the Fund, and may have adverse tax consequences.The Fund intends to make investments through the Subsidiary and may invest up to 25% of its total assets in the Subsidiary. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company. Generally, the Subsidiary will invest primarily in commodity-linked derivative instruments such as commodity futures, commodity forwards and commodity swaps (which may include swaps on commodity futures), but it may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiary’s derivative positions. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 on a consolidated basis with respect to investments in derivatives. In addition, the Fund and the Subsidiary will be subject to the same fundamental investment restrictions on a consolidated basis and, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company under Subchapter M of the Code. The Fund is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors.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, short-term bond fund shares, money market fund shares and/or U.S. Government securities.
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QRPNX - Performance

Return Ranking - Trailing

Period QRPNX Return Category Return Low Category Return High Rank in Category (%)
YTD 21.2% -73.0% 19.4% 7.89%
1 Yr 28.7% -9.1% 86.9% 96.73%
3 Yr 19.1%* -9.5% 16.2% 98.80%
5 Yr 7.1%* -4.9% 14.4% N/A
10 Yr N/A* -0.9% 7.5% N/A

* Annualized

Return Ranking - Calendar

Period QRPNX Return Category Return Low Category Return High Rank in Category (%)
2023 2.9% -22.7% 305.1% 100.00%
2022 24.8% -9.8% 27.3% 92.34%
2021 9.8% -20.8% 10.9% 69.33%
2020 -22.7% -12.4% 29.4% N/A
2019 -3.8% -10.5% 15.8% N/A

Total Return Ranking - Trailing

Period QRPNX Return Category Return Low Category Return High Rank in Category (%)
YTD 21.2% -73.0% 19.4% 7.89%
1 Yr 28.7% -13.4% 86.9% 95.27%
3 Yr 19.1%* -9.5% 16.2% 98.39%
5 Yr 7.1%* -5.3% 14.4% N/A
10 Yr N/A* -0.9% 7.5% N/A

* Annualized

Total Return Ranking - Calendar

Period QRPNX Return Category Return Low Category Return High Rank in Category (%)
2023 7.2% -22.7% 305.1% 100.00%
2022 24.8% -9.8% 27.3% 92.34%
2021 14.0% -20.8% 10.9% 74.22%
2020 -21.2% -8.4% 29.4% N/A
2019 -3.2% -10.2% 18.0% N/A

NAV & Total Return History

QRPNX - Holdings

Concentration Analysis

QRPNX Category Low Category High QRPNX % Rank
Net Assets 169 M 1.5 M 5.01 B 60.15%
Number of Holdings 3446 4 4478 10.95%
Net Assets in Top 10 97.3 M -398 M 2.55 B 35.69%
Weighting of Top 10 57.45% 13.1% 100.0% 11.26%

Top 10 Holdings

  1. Limited Purpose Cash Investment Fund 40.27%
  2. U.S. Treasury Bills 4.99%
  3. U.S. Treasury Bills 2.34%
  4. U.S. Treasury Bills 2.29%
  5. Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 1.47%
  6. U.S. Treasury Bills 1.41%
  7. Deutsche Bank AG (Registered) 1.28%
  8. U.S. Treasury Bills 1.22%
  9. Leonardo SpA 1.12%
  10. Holcim AG 1.07%

Asset Allocation

Weighting Return Low Return High QRPNX % Rank
Cash 		94.35% -6278.21% 410.43% 91.52%
Stocks 		6.99% -3.75% 97.95% 69.61%
Convertible Bonds 		0.00% 0.00% 87.92% 72.08%
Bonds 		0.00% -326.45% 6347.80% 26.15%
Other 		-0.35% -21.53% 148.54% 8.83%
Preferred Stocks 		-0.98% -0.12% 46.97% 34.28%

Stock Sector Breakdown

Weighting Return Low Return High QRPNX % Rank
Financial Services 		18.11% 0.00% 59.28% 57.48%
Industrials 		17.49% 0.00% 21.45% 8.66%
Consumer Cyclical 		15.47% 0.00% 29.09% 8.66%
Technology 		11.04% 0.00% 39.58% 88.98%
Healthcare 		8.98% 0.00% 45.63% 51.97%
Basic Materials 		8.46% 0.00% 27.46% 18.11%
Energy 		6.69% 0.00% 100.00% 35.83%
Communication Services 		5.69% 0.00% 21.78% 73.23%
Consumer Defense 		5.30% 0.00% 13.62% 25.59%
Utilities 		2.73% 0.00% 9.23% 12.99%
Real Estate 		0.04% 0.00% 51.26% 94.09%

Stock Geographic Breakdown

Weighting Return Low Return High QRPNX % Rank
US 		6.04% -8.85% 91.88% 64.31%
Non US 		0.95% -19.62% 42.11% 40.64%

QRPNX - Expenses

Operational Fees

QRPNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 3.59% 0.29% 31.15% 12.23%
Management Fee 1.20% 0.00% 2.50% 65.72%
12b-1 Fee 0.25% 0.00% 1.00% 36.49%
Administrative Fee N/A 0.01% 0.30% N/A

Sales Fees

QRPNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.50% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

QRPNX 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.

QRPNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 179.00% 0.00% 491.00% 64.11%

QRPNX - Distributions

Dividend Yield Analysis

QRPNX Category Low Category High QRPNX % Rank
Dividend Yield 3.57% 0.00% 4.56% 32.86%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

QRPNX Category Low Category High QRPNX % Rank
Net Income Ratio -0.78% -2.51% 6.83% 83.09%

Capital Gain Distribution Analysis

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

Distributions History

View More +

QRPNX - Fund Manager Analysis

Managers

Yao Ooi

Start Date

Tenure

Tenure Rank

Sep 19, 2017

4.7

4.7%

Yao Hua Ooi is a Principal at AQR Capital Management, where he is the Head of our Macro and Multi-Strategy team. In this role, he leads the Research and Portfolio Management teams focused on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Risk Parity, Alternative Risk Premia, Multi-Strategy, Multi-Asset and Global Macro products. His research has been published in the Journal of Financial Economics, the Journal of Portfolio Management, the Financial Analysts Journal and the Journal of Investment Management. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures, and shared the 2013 Whitebox Prize for his work on time series momentum. Yao Hua earned a B.S. in economics and a B.S. in engineering from the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, graduating summa cum laude.

Nathan Sosner

Start Date

Tenure

Tenure Rank

May 01, 2019

3.08

3.1%

Nathan Sosner, Ph.D. is a Principal of the Adviser. Dr. Sosner joined the Adviser in June 2015 is Head of the Specialized Investments Group, which focuses on situations where laws and regulations have meaningful effects on trading decisions, portfolio design and the choice of investment vehicles. He earned a B.A. and M.A. in economics from Tel Aviv University and a Ph.D. in economics from Harvard University.

Jordan Brooks

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Jordan Brooks is a Principal at AQR Capital Management, where he is the Co-Head of the Macro Strategies Group. In this role, he oversees equity index, fixed income, currency, and risk parity research, and is a portfolio manager for the firm’s risk parity, global macro, and multi-strategy portfolios. Jordan is also a Lecturer in Management at Yale University and an Adjunct Professor of Finance at New York University. He has published numerous articles on fixed income, global macro, and the intersection of asset pricing and macroeconomics. Prior to joining AQR, Jordan was a teaching fellow in the economics department at New York University, and a dissertation intern in the division of monetary affairs at the Federal Reserve Board of Governors and in the capital markets group at the Federal Reserve Bank of New York. Jordan earned a B.A. in economics and mathematics from Boston College, and an M.A. and Ph.D., both in economics, from New York University.

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.

Scott Metchick

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Scott Metchick is a Principal of the Adviser. Mr. Metchick joined the Adviser in 2012 where he is a senior member of the Research and Portfolio management team responsible for the firm’s Alternative Risk Premia and Multi-Strategy products. Mr. Metchick earned his B.S. in finance from Lehigh University.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.02 17.37 4.48 1.67

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