AQR Risk Parity II MV I
Name
As of 11/05/2021Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
Vitals
YTD Return
-15.7%
1 yr return
20.0%
3 Yr Avg Return
11.4%
5 Yr Avg Return
8.2%
Net Assets
$6.05 M
Holdings in Top 10
69.6%
52 WEEK LOW AND HIGH
Expenses
OPERATING FEES
Expense Ratio 0.82%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 152.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$5,000,000
IRA
$100,000
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 11/05/2021Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
QRMIX - Profile
Distributions
- YTD Total Return -15.7%
- 3 Yr Annualized Total Return 11.4%
- 5 Yr Annualized Total Return 8.2%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -0.46%
- Dividend Yield 5.9%
- Dividend Distribution Frequency Annually
Fund Details
-
Legal NameAQR Risk Parity II MV Fund
-
Fund Family NameAQR Funds
-
Inception DateNov 05, 2012
-
Shares OutstandingN/A
-
Share ClassInst
-
CurrencyUSD
-
Domiciled CountryUnited States
-
ManagerYao Ooi
Fund Description
QRMIX - Performance
Return Ranking - Trailing
Period | QRMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | -15.7% | -15.8% | 40.2% | 99.64% |
1 Yr | 20.0% | 1.0% | 76.0% | 61.59% |
3 Yr | 11.4%* | 0.6% | 33.9% | 30.28% |
5 Yr | 8.2%* | 1.7% | 30.5% | 45.89% |
10 Yr | N/A* | -0.5% | 13.2% | N/A |
* Annualized
Return Ranking - Calendar
Period | QRMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 0.9% | -17.2% | 52.8% | 76.45% |
2022 | 9.9% | -11.4% | 27.3% | 52.78% |
2021 | -8.5% | -29.6% | 1.6% | 35.62% |
2020 | 3.1% | -11.6% | 29.4% | 86.82% |
2019 | 5.5% | -14.9% | 16.0% | 35.64% |
Total Return Ranking - Trailing
Period | QRMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | -15.7% | -15.8% | 40.2% | 99.64% |
1 Yr | 20.0% | 1.0% | 76.0% | 57.25% |
3 Yr | 11.4%* | -0.6% | 33.9% | 28.29% |
5 Yr | 8.2%* | 1.7% | 30.5% | 43.29% |
10 Yr | N/A* | -0.5% | 13.2% | N/A |
* Annualized
Total Return Ranking - Calendar
Period | QRMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 0.9% | -17.2% | 52.8% | 76.45% |
2022 | 9.9% | -11.4% | 27.3% | 52.78% |
2021 | -8.5% | -29.6% | 1.6% | 55.36% |
2020 | 3.1% | -5.4% | 29.4% | 94.09% |
2019 | 5.5% | -14.9% | 19.7% | 46.53% |
NAV & Total Return History
QRMIX - Holdings
Concentration Analysis
QRMIX | Category Low | Category High | QRMIX % Rank | |
---|---|---|---|---|
Net Assets | 6.05 M | 2.02 M | 17.2 B | 98.58% |
Number of Holdings | 330 | 2 | 3392 | 12.10% |
Net Assets in Top 10 | 41.7 M | -70.9 M | 11.2 B | 69.40% |
Weighting of Top 10 | 69.64% | 16.9% | 100.0% | 52.82% |
Top 10 Holdings
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
- 10 Year Treasury Note Future Sept 20 89.36%
Asset Allocation
Weighting | Return Low | Return High | QRMIX % Rank | |
---|---|---|---|---|
Other | 41.04% | -28.86% | 67.29% | 3.56% |
Bonds | 37.98% | 0.00% | 375.28% | 29.54% |
Cash | 22.80% | -359.91% | 73.53% | 9.25% |
Preferred Stocks | 0.00% | 0.00% | 12.18% | 38.43% |
Convertible Bonds | 0.00% | 0.00% | 6.27% | 53.74% |
Stocks | -1.83% | -1.83% | 199.91% | 99.29% |
Bond Sector Breakdown
Weighting | Return Low | Return High | QRMIX % Rank | |
---|---|---|---|---|
Government | 50.67% | 0.00% | 99.49% | 25.27% |
Cash & Equivalents | 29.07% | 0.00% | 100.00% | 49.11% |
Derivative | 20.26% | 0.00% | 72.09% | 7.47% |
Securitized | 0.00% | 0.00% | 58.99% | 49.11% |
Corporate | 0.00% | 0.00% | 100.00% | 73.31% |
Municipal | 0.00% | 0.00% | 20.49% | 28.11% |
Bond Geographic Breakdown
Weighting | Return Low | Return High | QRMIX % Rank | |
---|---|---|---|---|
US | 24.20% | -18.70% | 203.97% | 30.60% |
Non US | 13.78% | 0.00% | 171.31% | 25.98% |
QRMIX - Expenses
Operational Fees
QRMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 0.82% | 0.38% | 3.80% | 85.20% |
Management Fee | 0.60% | 0.00% | 1.50% | 20.07% |
12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
Administrative Fee | N/A | 0.05% | 0.70% | N/A |
Sales Fees
QRMIX 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
QRMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Max Redemption Fee | N/A | 0.50% | 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.
QRMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | 152.00% | 0.00% | 465.00% | 60.09% |
QRMIX - Distributions
Dividend Yield Analysis
QRMIX | Category Low | Category High | QRMIX % Rank | |
---|---|---|---|---|
Dividend Yield | 5.85% | 0.00% | 0.56% | 12.10% |
Dividend Distribution Analysis
QRMIX | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | Annually | Annually | Monthly | Annually |
Net Income Ratio Analysis
QRMIX | Category Low | Category High | QRMIX % Rank | |
---|---|---|---|---|
Net Income Ratio | -0.46% | -73.00% | 9.24% | 73.84% |
Capital Gain Distribution Analysis
QRMIX | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency | Annually | Annually | Semi-Annually | Annually |
Distributions History
Date | Amount | Type |
---|---|---|
Dec 20, 2018 | $0.103 | |
Dec 21, 2017 | $0.016 | |
Dec 21, 2016 | $0.089 | |
Dec 22, 2015 | $0.025 | |
Dec 22, 2014 | $0.018 | |
Dec 23, 2013 | $0.013 | |
Dec 17, 2012 | $0.017 |
QRMIX - Fund Manager Analysis
Managers
Yao Ooi
Start Date
Tenure
Tenure Rank
Nov 05, 2012
8.99
9.0%
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.
Michael Mendelson
Start Date
Tenure
Tenure Rank
Nov 05, 2012
8.99
9.0%
Mr. Michael Mendelson serves as Principal & Portfolio Manager.
John Liew
Start Date
Tenure
Tenure Rank
Nov 05, 2012
8.99
9.0%
Dr. Liew is a Founder and the head of the Global Asset Allocation team at of AQR, overseeing the research, portfolio management and trading associated with that strategy. Prior to AQR, he worked at Goldman, Sachs & Co. as a portfolio manager in the Asset Management Division where he developed and managed quantitative trading strategies. Dr. Liew began his career at Trout Trading, developing quantitative market-neutral stock-selection strategies. Dr Liew has published articles in The Journal of Portfolio Management and Financial Analysts Journal, and has received the Bernstein Fabozzi/Jacobs Levy award and the Graham and Dodd award for his articles. Dr. Liew is a member of the University of Chicago’s Board of Trustees and sits on the university’s investment committee. Dr Liew earned a B.A. in economics, an M.B.A. and a Ph.D. in finance from Chicago.
John Huss
Start Date
Tenure
Tenure Rank
May 01, 2015
6.51
6.5%
John J. Huss, Principal, rejoined AQR in 2013 and oversees multi-asset class strategies as a researcher and portfolio manager. Mr. Huss rejoined the AQR Capital Management in 2013 and is a portfolio manager for the firm’s World Allocation strategy where he focuses on macroeconomic and portfolio construction research for risk parity and other asset allocation strategies. Prior to rejoining the firm, where he first worked from 2004 to 2008, Mr. Huss was a vice president in RBC’s Global Arbitrage and Trading division and a systematic portfolio manager for Tudor Investment Corp. Mr. Huss earned a B.S. in mathematics from the Massachusetts Institute of Technology.
Ronen Israel
Start Date
Tenure
Tenure Rank
Jan 01, 2020
1.83
1.8%
Ronen Israel, M.A., is a Principal of AQR Capital Management. Mr. Israel joined AQR Capital Management in 1999, is the Co-Head of Portfolio Management, Research, Risk and Trading and is a member of the firm’s Executive Committee. Prior to joining AQR, Ronen was a Senior Analyst at Quantitative Financial Strategies, Inc., a quantitative investment management firm, specializing in currencies and global macro strategies, with $2.5 billion under management. Before that, he worked as a management consultant, specializing in building out financial systems for financial services firms. Ronen received an MA in Mathematics, specializing in mathematical finance, from Columbia University, a BS in Economics from The Wharton School at the University of Pennsylvania and a BAS in Biomedical Science from the School of Engineering and Applied Science at the University of Pennsylvania.
Lars Nielsen
Start Date
Tenure
Tenure Rank
Jan 01, 2020
1.83
1.8%
Nielsen is a Principal of AQR Capital Management. Mr. Nielsen joined AQR in 2000 and currently serves as the co-head of portfolio management, research, risk and trading. He earned a B.Sc. and an M.Sc. in economics from the University of Copenhagen. Prior to joining the Adviser in 2000, he was an Analyst in the Quantitative Research Group of Danske Invest.
Tenure Analysis
Category Low | Category High | Category Average | Category Mode |
---|---|---|---|
0.03 | 33.25 | 5.78 | 12.42 |