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QSPIX AQR Style Premia Alternative I

  • Fund
  • QSPIX
  • Price as of: Apr 25, 2017
  • $10.04
  • - $0.11
  • - 1.08%
  • Category
  • Diversified Portfolio

QSPIX - Profile

Vitals

  • YTD Return 1.2%
  • 3 Yr Annualized Return 6.6%
  • 5 Yr Annualized Return N/A
  • Net Assets $4.04 B
  • Holdings in Top 10 104.7%

52 WEEK LOW AND HIGH

$10.04
$9.76
$10.29

Expenses

OPERATING RELATED FEES

  • Expense Ratio 2.26%

SALES FEES

  • Front Load N/A
  • Deferred Load N/A

BROKERAGE FEES

  • Turnover 114.00%

TRADING FEES

  • Max Redemption Fee N/A

Min Investment

Closed to new investors as of 2016-01-29

STANDARD (TAXABLE)

$5,000,000

IRA

$100,000

Investment Themes

CATEGORY

Diversified Portfolio
  • Fund Type Open End Mutual Fund
  • Investment Style Multialternative

Distributions

  • YTD Total Return 1.2%
  • 3 Yr Annualized Total Return 6.6%
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.20%
DIVIDENDS
  • Dividend Yield N/A
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name AQR Style Premia Alternative Fund
  • Fund Family Name AQR Funds
  • Inception Date Oct 30, 2013
  • Shares Outstanding N/A
  • Share Class Inst
  • Currency USD
  • Domiciled Country United States
  • Manager Ronen Israel

QSPIX - Performance

Return Ranking - Trailing

Period QSPIX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.2% -49.2% 408.2% 74.69% 5
1 Yr 1.0% -26.7% 45.9% 88.13% 5
3 Yr 6.6% * -14.9% 11.8% 5.05% 1
5 Yr N/A * -10.9% 13.6% N/A N/A
10 Yr N/A * -5.3% 8.4% N/A N/A

* Annualized


Return Ranking - Calendar

Period QSPIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2016 -2.2% -65.8% 23.3% 76.10% 5
2015 2.8% -37.7% 48.7% 0.59% 1
2014 -3.1% -59.3% 22.9% 66.95% 4
2013 N/A -17.5% 36.4% N/A N/A
2012 N/A -16.2% 18.4% N/A N/A

Total Return Ranking - Trailing

Period QSPIX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.2% -49.2% 408.2% 74.51% 5
1 Yr 1.0% -28.0% 73.2% 83.29% 5
3 Yr 6.6% * -15.9% 28.2% 4.64% 1
5 Yr N/A * -11.3% 13.6% N/A N/A
10 Yr N/A * -5.3% 8.4% N/A N/A

* Annualized


Total Return Ranking - Calendar

Period QSPIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2016 -2.2% -65.6% 32.0% 83.44% 5
2015 9.4% -29.3% 50.4% 0.35% 1
2014 13.9% -54.8% 25.4% 1.74% 1
2013 N/A -16.7% 57.2% N/A N/A
2012 N/A -16.2% 74.5% N/A N/A

NAV & Total Return History

QSPIX - Holdings

Filings data as of: Feb 28, 2017

Concentration Analysis

QSPIX Category Low Category High QSPIX % Rank Quintile
Net Assets 4.04 B 81.4 K 108 B 2.79% 1
Number of Holdings 1812 1 12763 1.65% 1
Net Assets in Top 10 6.15 B -654 M 20.8 B 0.55% 1
Weighting of Top 10 104.7% 0.2% 279.9% 0.78% 1

Top 10 Holdings

  1. Us 2yr Note Fut Jun17 33.17%
  2. Euro-Schatz Fut Mar17 14.49%
  3. 90-Day Bank 06/08/2017 9.01%
  4. 90-Day Bank 09/07/2017 9.01%
  5. 90-Day Bank 12/07/2017 9.01%
  6. Aqr Style Premia Alt Off 8.74%
  7. Dax Mar17 7.17%
  8. Aust 3y Bond Fut Mar17 5.11%
  9. 90day Euro$ Fut Jun17 4.50%
  10. 90day Euro$ 09/18/2017 4.50%

Asset Allocation

Weighting Category Low Category High QSPIX % Rank Quintile
Bonds
49.35% -30.08% 152.94% 7.45% 2
Cash
25.93% -95.46% 99.77% 4.44% 1
Stocks
13.14% 0.00% 146.93% 29.56% 5
Other
11.58% -8.83% 98.84% 2.38% 1
Preferred Stocks
0.00% -0.04% 38.11% 8.56% 5
Convertible Bonds
0.00% 0.00% 33.12% 7.41% 4

Stock Sector Breakdown

Weighting Category Low Category High QSPIX % Rank Quintile
Financial Services
4.44% -5.36% 69.58% 20.45% 4
Industrials
3.53% -4.42% 48.84% 17.95% 4
Consumer Cyclical
2.83% -8.56% 54.37% 19.11% 4
Energy
2.37% -3.05% 34.21% 15.13% 4
Technology
2.24% -3.41% 70.04% 22.26% 5
Basic Materials
1.94% -1.62% 21.85% 11.20% 3
Healthcare
1.90% -3.11% 31.05% 22.21% 5
Consumer Defense
1.73% -2.25% 27.69% 17.08% 4
Communication Services
1.69% -0.67% 27.16% 9.07% 3
Utilities
1.42% -6.36% 47.20% 8.88% 3
Real Estate
0.18% -3.88% 48.46% 18.83% 5

Stock Geographic Breakdown

Weighting Category Low Category High QSPIX % Rank Quintile
Non US
20.63% -4.03% 150.26% 6.00% 1
US
-7.49% -97.12% 142.69% 31.53% 5

Bond Sector Breakdown

Weighting Category Low Category High QSPIX % Rank Quintile
Government
42.43% -89.50% 137.47% 0.92% 1
Cash & Equivalents
32.67% -95.46% 100.00% 3.30% 1
Derivative
0.17% -84.53% 15.47% 2.15% 1
Securitized
0.00% -0.01% 41.65% 22.84% 5
Corporate
0.00% -0.05% 86.60% 29.15% 5
Municipal
0.00% 0.00% 91.52% 7.51% 4

Bond Geographic Breakdown

Weighting Category Low Category High QSPIX % Rank Quintile
US
49.35% -134.91% 152.94% 3.89% 1
Non US
0.00% -57.44% 159.37% 25.26% 5

QSPIX - Expenses

Operational Fees

QSPIX Fees (% of AUM) Category Low Category High Rank in Category (%) Quintile
Expense Ratio 2.26% 0.00% 165.34% 8.70% 5
Management Fee 1.35% 0.00% 2.55% 0.87% 5
12b-1 Fee N/A 0.00% 1.00% N/A N/A
Administrative Fee N/A 0.00% 0.83% N/A N/A

Sales Fees

QSPIX Fees (% of AUM) Category Low Category High QSPIX Rank Quintile
Front Load N/A 0.14% 5.75% N/A N/A
Deferred Load N/A 0.75% 5.50% N/A N/A

Trading Fees

QSPIX Fees (% of AUM) Category Low Category High QSPIX Rank Quintile
Max Redemption Fee N/A 0.00% 2.00% N/A N/A

Turnover 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.

QSPIX Fees (% of AUM) Category Low Category High QSPIX Rank Quintile
Turnover 114.00% 0.00% 5609.00% 6.31% 4

QSPIX - Distributions

Dividend Yield Analysis

QSPIX Category Low Category High QSPIX % Rank Quintile
Dividend Yield N/A 0.00% 11.33% N/A N/A

Dividend Distribution Analysis

QSPIX Category Low Category High Category Mode
Dividend Distribution Frequency Annually Annually Monthly Annually

Dividend Payout History


Net Income Ratio Analysis

QSPIX Category Low Category High QSPIX % Rank Quintile
Net Income Ratio -1.20% -3.27% 12.91% 24.55% 5

Capital Gain Distribution Analysis

QSPIX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Daily Annually

QSPIX - Managers

Ronen Israel

Manager

Start Date

Oct 30, 2013

Tenure

3.42

Tenure Rank

5.0%

Ronen joined AQR Capital Management in 1999 and is a Principal and lead portfolio manager of the DELTA strategy. 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.


Jacques A. Friedman

Manager

Start Date

Oct 30, 2013

Tenure

3.42

Tenure Rank

5.0%

Jacques is the head of AQR’s Global Stock Selection team and is involved in all aspects of research, portfolio management and strategy development for the firm’s equity products and strategies. Prior to AQR, he developed quantitative stock-selection strategies for the Asset Management Division of Goldman, Sachs & Co. Jacques earned a B.S. in applied mathematics from Brown University and an M.S. in applied mathematics from the University of Washington. Before joining Goldman, he was pursuing a Ph.D. in applied mathematics at Washington, where his research interests ranged from mathematical physics to quantitative methods for sports handicapping.


Andrea Frazzini

Manager

Start Date

Oct 30, 2013

Tenure

3.42

Tenure Rank

5.0%

Andrea is a Principal on AQR’s Global Stock Selection team, focusing on research and portfolio management of the Firm’s Long/Short and Long-Only equity strategies. He is also an Adjunct Professor of Finance at New York University’s Stern School of Business. He has published in top academic journals and won several awards for his research, including the Smith Breeden Award, the Fama-DFA award, the BGI best paper award, several Bernstein Fabozzi/Jacobs Levy Awards, and the PanAgora Crowell Memorial Prize. Prior to AQR, Andrea was an associate professor of finance at the University of Chicago’s Graduate School of Business and a Research Associate at the National Bureau of Economic Research. He also served as a consultant for DKR Capital Partners and J.P. Morgan Securities and on the board of directors of the Center for Research in Security Prices at the University of Chicago. He earned a B.S. in economics from the University of Roma Tre, an M.S. in economics from the London School of Economics and a Ph.D. in economics from Yale University.


Michael Katz

Manager

Start Date

Oct 30, 2013

Tenure

3.42

Tenure Rank

5.0%

Michael Katz, Ph.D., A.M., is a Vice President of the AQR Capital Management, LLC. Dr. Katz joined the AQR Capital Management, LLC. in 2007 and oversees research and portfolio management for macro, fixed-income and inflation-related strategies. He earned a B.A. in economics and a B.A. in Middle East history, both with honors, at Tel Aviv University, and an A.M. and a Ph.D., both in economics, from Harvard University.


Tenure Analysis

Category Low

0.0

Category High

49.1

Category Average

5.51

Category Mode

2.3