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Trending ETFs

Name

As of 12/18/2020

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

$5.06

$22.7 M

-

$0.00

2.72%

Vitals

YTD Return

-28.0%

1 yr return

-28.3%

3 Yr Avg Return

-17.7%

5 Yr Avg Return

-10.4%

Net Assets

$22.7 M

Holdings in Top 10

N/A

52 WEEK LOW AND HIGH

$5.1
$4.87
$7.12

Expenses

OPERATING FEES

Expense Ratio 2.72%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 173.00%

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 12/18/2020

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

$5.06

$22.7 M

-

$0.00

2.72%

ASAIX - Profile

Distributions

  • YTD Total Return -28.0%
  • 3 Yr Annualized Total Return -17.7%
  • 5 Yr Annualized Total Return -10.4%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.35%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Multi-Strategy Alternative Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Jul 18, 2011
  • Shares Outstanding
    N/A
  • Share Class
    Inst
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    John Liew

Fund Description


ASAIX - Performance

Return Ranking - Trailing

Period ASAIX Return Category Return Low Category Return High Rank in Category (%)
YTD -28.0% -28.3% 302.7% 99.32%
1 Yr -28.3% -28.4% 27.4% 99.66%
3 Yr -17.7%* -17.9% 12.3% 99.63%
5 Yr -10.4%* -10.6% 10.2% 99.57%
10 Yr N/A* -0.5% 5.9% N/A

* Annualized

Return Ranking - Calendar

Period ASAIX Return Category Return Low Category Return High Rank in Category (%)
2023 -10.0% -10.2% 27.3% 99.63%
2022 -13.7% -20.8% 10.9% 95.16%
2021 -4.7% -12.4% 29.4% 95.41%
2020 -2.7% -10.5% 15.8% 84.06%
2019 0.0% -22.0% 6.0% 14.72%

Total Return Ranking - Trailing

Period ASAIX Return Category Return Low Category Return High Rank in Category (%)
YTD -28.0% -28.3% 302.7% 99.32%
1 Yr -28.3% -28.4% 27.4% 99.66%
3 Yr -17.7%* -17.9% 12.3% 99.63%
5 Yr -10.4%* -10.6% 10.2% 99.57%
10 Yr N/A* -0.5% 5.9% N/A

* Annualized

Total Return Ranking - Calendar

Period ASAIX Return Category Return Low Category Return High Rank in Category (%)
2023 -10.0% -10.2% 27.3% 99.63%
2022 -13.7% -20.8% 10.9% 95.16%
2021 3.1% -8.4% 29.4% 74.31%
2020 -0.2% -5.9% 18.0% 69.57%
2019 9.2% -22.0% 9.2% 0.61%

NAV & Total Return History


ASAIX - Holdings

Concentration Analysis

ASAIX Category Low Category High ASAIX % Rank
Net Assets 22.7 M 1.34 M 5.41 B 85.27%
Number of Holdings 2888 4 3106 1.33%
Net Assets in Top 10 41.8 M -91.4 M 2.69 B 58.80%
Weighting of Top 10 N/A 8.3% 100.0% 8.61%

Top 10 Holdings

  1. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  2. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  3. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  4. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  5. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  6. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  7. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  8. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  9. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%
  10. Us 10yr Note (Cbt) Bond 21/Dec/2020 Tyz0 Comdty 33.08%

Asset Allocation

Weighting Return Low Return High ASAIX % Rank
Bonds
101.17% -419.77% 9482.07% 5.32%
Other
34.12% -2.59% 78.88% 9.63%
Convertible Bonds
14.55% 0.00% 84.90% 2.99%
Stocks
13.83% -24.27% 208.15% 68.77%
Preferred Stocks
0.00% -0.12% 52.62% 63.12%
Cash
-63.67% -9406.09% 494.28% 93.36%

Stock Sector Breakdown

Weighting Return Low Return High ASAIX % Rank
Utilities
0.00% 0.00% 16.97% 2.36%
Technology
0.00% 0.00% 100.00% 0.21%
Real Estate
0.00% 0.00% 78.90% 18.84%
Industrials
0.00% 0.00% 22.91% 0.86%
Healthcare
0.00% 0.00% 54.70% 0.21%
Financial Services
0.00% 0.00% 48.85% 5.14%
Energy
0.00% 0.00% 100.00% 1.07%
Communication Services
0.00% 0.00% 23.22% 43.25%
Consumer Defense
0.00% 0.00% 23.90% 1.50%
Consumer Cyclical
0.00% 0.00% 29.68% 0.86%
Basic Materials
0.00% 0.00% 25.11% 4.28%

Stock Geographic Breakdown

Weighting Return Low Return High ASAIX % Rank
Non US
13.73% -23.77% 34.41% 27.57%
US
0.10% -15.91% 208.15% 90.03%

Bond Sector Breakdown

Weighting Return Low Return High ASAIX % Rank
Government
46.31% 0.00% 86.44% 14.29%
Derivative
29.72% 0.00% 91.28% 16.28%
Cash & Equivalents
22.65% 0.27% 100.00% 68.44%
Corporate
1.32% 0.00% 93.88% 65.12%
Securitized
0.00% 0.00% 89.57% 76.41%
Municipal
0.00% 0.00% 25.47% 59.47%

Bond Geographic Breakdown

Weighting Return Low Return High ASAIX % Rank
Non US
92.28% -528.06% 6446.87% 2.99%
US
8.89% -24.79% 3035.20% 78.41%

ASAIX - Expenses

Operational Fees

ASAIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.72% 0.29% 31.15% 23.88%
Management Fee 1.75% 0.00% 2.50% 88.82%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.01% 0.30% N/A

Sales Fees

ASAIX 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

ASAIX 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.

ASAIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 173.00% 0.00% 496.00% 66.41%

ASAIX - Distributions

Dividend Yield Analysis

ASAIX Category Low Category High ASAIX % Rank
Dividend Yield 0.00% 0.00% 2.15% 45.72%

Dividend Distribution Analysis

ASAIX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Quarterly Annually

Net Income Ratio Analysis

ASAIX Category Low Category High ASAIX % Rank
Net Income Ratio 0.35% -1.93% 6.83% 77.51%

Capital Gain Distribution Analysis

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

Distributions History

View More +

ASAIX - Fund Manager Analysis

Managers

John Liew


Start Date

Tenure

Tenure Rank

Jul 18, 2011

9.38

9.4%

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.

Ronen Israel


Start Date

Tenure

Tenure Rank

Jul 18, 2011

9.38

9.4%

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.

Todd Pulvino


Start Date

Tenure

Tenure Rank

Jul 18, 2011

9.38

9.4%

Todd C. Pulvino, PhD, AM, MS, is Principal of CNH. Dr. Pulvino cofounded CNH in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies associated with corporate events. He earned a BSc in mechanical engineering from University of Wisconsin-Madison, an MS in mechanical engineering from the California Institute of Technology, and an AM and PhD in business economics from Harvard University.

Mark Mitchell


Start Date

Tenure

Tenure Rank

Jul 18, 2011

9.38

9.4%

Mark L. Mitchell, PhD, is a Principal of CNH. Dr. Mitchell cofounded CNH in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies associated with corporate events. Dr. Mitchell earned a BBA in economics from University of Louisiana at Monroe and a PhD in economics from Clemson University.

Michael Katz


Start Date

Tenure

Tenure Rank

Mar 16, 2016

4.71

4.7%

Michael Katz, Ph.D., A.M., is a Principal of the Adviser. Dr. Katz joined the Adviser in 2007 and is Head of the Portfolio Implementation and Implementation Research team where he oversees the implementation of the Adviser’s products and models and enhancement of the implementation process. He earned a B.A. in economics and a B.A. in Middle East history, both with honors, at Tel Aviv University, and a M.A. and a Ph.D., both in economics, from Harvard University.

Yao Ooi


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.92

0.9%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.03 17.04 4.34 3.42