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Name

As of 11/05/2021

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 Risk Parity II MV Fund

QRMNX | Fund

$7.84

$6.05 M

5.80%

$0.45

1.07%

Vitals

YTD Return

-15.8%

1 yr return

19.7%

3 Yr Avg Return

11.1%

5 Yr Avg Return

7.9%

Net Assets

$6.05 M

Holdings in Top 10

69.6%

52 WEEK LOW AND HIGH

$7.8
$7.78
$10.50

Expenses

OPERATING FEES

Expense Ratio 1.07%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 152.00%

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 11/05/2021

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 Risk Parity II MV Fund

QRMNX | Fund

$7.84

$6.05 M

5.80%

$0.45

1.07%

QRMNX - Profile

Distributions

  • YTD Total Return -15.8%
  • 3 Yr Annualized Total Return 11.1%
  • 5 Yr Annualized Total Return 7.9%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -0.71%
DIVIDENDS
  • Dividend Yield 5.8%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Risk Parity II MV Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Nov 05, 2012
  • Shares Outstanding
    N/A
  • Share Class
    N
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    John Liew

Fund Description

QRMNX - Performance

Return Ranking - Trailing

Period QRMNX Return Category Return Low Category Return High Rank in Category (%)
YTD -15.8% -15.8% 40.2% 100.00%
1 Yr 19.7% 1.0% 76.0% 62.68%
3 Yr 11.1%* 0.6% 33.9% 38.25%
5 Yr 7.9%* 1.7% 30.5% 50.22%
10 Yr N/A* -0.5% 13.2% N/A

* Annualized

Return Ranking - Calendar

Period QRMNX Return Category Return Low Category Return High Rank in Category (%)
2023 0.6% -17.2% 52.8% 77.61%
2022 10.0% -11.4% 27.3% 51.19%
2021 -8.6% -29.6% 1.6% 36.05%
2020 2.8% -11.6% 29.4% 87.73%
2019 5.4% -14.9% 16.0% 36.63%

Total Return Ranking - Trailing

Period QRMNX Return Category Return Low Category Return High Rank in Category (%)
YTD -15.8% -15.8% 40.2% 100.00%
1 Yr 19.7% 1.0% 76.0% 58.70%
3 Yr 11.1%* -0.6% 33.9% 35.46%
5 Yr 7.9%* 1.7% 30.5% 47.62%
10 Yr N/A* -0.5% 13.2% N/A

* Annualized

Total Return Ranking - Calendar

Period QRMNX Return Category Return Low Category Return High Rank in Category (%)
2023 0.6% -17.2% 52.8% 77.61%
2022 10.0% -11.4% 27.3% 51.19%
2021 -8.6% -29.6% 1.6% 55.79%
2020 2.8% -5.4% 29.4% 94.55%
2019 5.4% -14.9% 19.7% 47.03%

NAV & Total Return History

QRMNX - Holdings

Concentration Analysis

QRMNX Category Low Category High QRMNX % Rank
Net Assets 6.05 M 2.02 M 17.2 B 98.93%
Number of Holdings 330 2 3392 12.46%
Net Assets in Top 10 41.7 M -70.9 M 11.2 B 69.75%
Weighting of Top 10 69.64% 16.9% 100.0% 53.23%

Top 10 Holdings

  1. 10 Year Treasury Note Future Sept 20 89.36%
  2. 10 Year Treasury Note Future Sept 20 89.36%
  3. 10 Year Treasury Note Future Sept 20 89.36%
  4. 10 Year Treasury Note Future Sept 20 89.36%
  5. 10 Year Treasury Note Future Sept 20 89.36%
  6. 10 Year Treasury Note Future Sept 20 89.36%
  7. 10 Year Treasury Note Future Sept 20 89.36%
  8. 10 Year Treasury Note Future Sept 20 89.36%
  9. 10 Year Treasury Note Future Sept 20 89.36%
  10. 10 Year Treasury Note Future Sept 20 89.36%

Asset Allocation

Weighting Return Low Return High QRMNX % Rank
Other 		41.04% -28.86% 67.29% 3.91%
Bonds 		37.98% 0.00% 375.28% 29.89%
Cash 		22.80% -359.91% 73.53% 9.61%
Preferred Stocks 		0.00% 0.00% 12.18% 70.11%
Convertible Bonds 		0.00% 0.00% 6.27% 78.65%
Stocks 		-1.83% -1.83% 199.91% 99.64%

Bond Sector Breakdown

Weighting Return Low Return High QRMNX % Rank
Government 		50.67% 0.00% 99.49% 25.62%
Cash & Equivalents 		29.07% 0.00% 100.00% 49.47%
Derivative 		20.26% 0.00% 72.09% 7.83%
Securitized 		0.00% 0.00% 58.99% 78.29%
Corporate 		0.00% 0.00% 100.00% 86.48%
Municipal 		0.00% 0.00% 20.49% 68.68%

Bond Geographic Breakdown

Weighting Return Low Return High QRMNX % Rank
US 		24.20% -18.70% 203.97% 30.96%
Non US 		13.78% 0.00% 171.31% 26.33%

QRMNX - Expenses

Operational Fees

QRMNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.07% 0.38% 3.80% 68.23%
Management Fee 0.60% 0.00% 1.50% 24.01%
12b-1 Fee 0.25% 0.00% 1.00% 51.11%
Administrative Fee N/A 0.05% 0.70% N/A

Sales Fees

QRMNX 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

QRMNX 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.

QRMNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 152.00% 0.00% 465.00% 60.94%

QRMNX - Distributions

Dividend Yield Analysis

QRMNX Category Low Category High QRMNX % Rank
Dividend Yield 5.80% 0.00% 0.56% 59.43%

Dividend Distribution Analysis

QRMNX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Monthly Annually

Net Income Ratio Analysis

QRMNX Category Low Category High QRMNX % Rank
Net Income Ratio -0.71% -73.00% 9.24% 79.93%

Capital Gain Distribution Analysis

QRMNX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Semi-Annually Annually

Distributions History

View More +

QRMNX - Fund Manager Analysis

Managers

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.

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 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

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