AQRRX: AQR Multi-Asset R6

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AQRRX AQR Multi-Asset R6


Profile

AQRRX - Profile

Vitals

  • YTD Return -3.9%
  • 3 Yr Annualized Return -3.6%
  • 5 Yr Annualized Return -0.6%
  • Net Assets $140 M
  • Holdings in Top 10 N/A

52 WEEK LOW AND HIGH

$9.27
$8.24
$10.34

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.38%

SALES FEES

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

BROKERAGE FEES

  • Turnover 233.00%

TRADING FEES

  • Max Redemption Fee N/A

Min Investment

Closed to new investors as of Aug 31, 2015
  • Standard (Taxable) $100,000
  • IRA N/A

Fund Classification

  • Primary Caregory
  • Fund Type Open End Mutual Fund
  • Investment Style Tactical Allocation

Distributions

  • YTD Total Return -3.9%
  • 3 Yr Annualized Total Return 0.2%
  • 5 Yr Annualized Total Return 3.7%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.48%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Multi-Asset Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Sep 02, 2014
  • Shares Outstanding
    N/A
  • Share Class
    Retirement
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    John Liew

Fund Description

The fund allocates assets among major asset classes (including, but not limited to, developed market equities, nominal and inflation-linked government bonds issued by developed countries, developed and emerging market currencies, and commodities). It will generally have some level of investment in the majority of asset classes and Instruments but there is no stated limit on the percentage of assets the fund can invest in a particular Instrument or the percentage of assets the fund will allocate to any one asset class, and at times the fund may focus on a small number of Instruments or asset classes. It is non-diversified.


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Categories

Performance

AQRRX - Performance

Return Ranking - Trailing

Period AQRRX Return Category Return Low Category Return High Rank in Category (%)
YTD -3.9% -20.2% 21.8% 74.54%
1 Yr -6.7% -20.8% 22.6% 89.19%
3 Yr -3.6%* -12.3% 6.1% 86.68%
5 Yr -0.6%* -5.5% 7.2% 81.26%
10 Yr N/A* -7.1% 11.4% N/A

* Annualized

Return Ranking - Calendar

Period AQRRX Return Category Return Low Category Return High Rank in Category (%)
2019 13.4% -8.5% 32.8% 5.48%
2018 -13.4% -35.5% 3.8% 94.44%
2017 5.2% -9.1% 15.4% 45.63%
2016 2.6% -11.7% 15.3% 56.49%
2015 -10.3% -21.5% 14.0% 75.88%

Total Return Ranking - Trailing

Period AQRRX Return Category Return Low Category Return High Rank in Category (%)
YTD -3.9% -20.2% 21.8% 74.54%
1 Yr -6.7% -20.8% 22.6% 89.19%
3 Yr 0.2%* -9.9% 8.7% 45.91%
5 Yr 3.7%* -3.8% 13.8% 20.71%
10 Yr N/A* -2.6% 13.9% N/A

* Annualized

Total Return Ranking - Calendar

Period AQRRX Return Category Return Low Category Return High Rank in Category (%)
2019 13.4% -8.5% 32.8% 5.48%
2018 -12.2% -35.5% 3.8% 93.66%
2017 16.5% -6.6% 21.6% 1.89%
2016 10.1% -10.4% 20.3% 15.65%
2015 -8.0% -18.5% 22.6% 72.99%

NAV & Total Return History


Holdings

AQRRX - Holdings

Concentration Analysis

AQRRX Category Low Category High AQRRX % Rank
Net Assets 140 M 1.06 M 154 B 61.74%
Number of Holdings 868 1 6322 15.61%
Net Assets in Top 10 272 M 973 K 61.2 B 26.02%
Weighting of Top 10 N/A 5.0% 362.0% 9.18%

Top 10 Holdings

  1. 10 Year Treasury Note Future Sept 20 58.59%
  2. 5 Year Treasury Note Future Sept 20 46.95%
  3. SGX 10 Year Mini Japanese Government Bond Future Sept 20 28.07%
  4. Long Gilt Future Sept 20 11.12%
  5. Euro Bund Future Sept 20 10.46%
  6. Ubs Relationship Fds 10.31%
  7. Euro Bobl Future Sept 20 9.90%
  8. 10 Year Government of Canada Bond Future Sept 20 8.90%
  9. United States Treasury Bills 8.54%
  10. Ubs Money Ser 8.03%

Asset Allocation

Weighting Return Low Return High AQRRX % Rank
Bonds
226.27% 64.02% 7817.38% 4.07%
Stocks
27.43% -8.58% 99.98% 11.66%
Other
18.32% -28.54% 107.95% 7.74%
Preferred Stocks
0.00% 0.00% 4.20% 99.44%
Convertible Bonds
0.00% 0.00% 19.31% 99.86%
Cash
-172.03% -7742.24% 19.36% 96.48%

Stock Sector Breakdown

Weighting Return Low Return High AQRRX % Rank
Technology
22.46% -0.38% 100.00% 8.29%
Healthcare
16.59% -0.22% 100.00% 9.63%
Consumer Cyclical
13.65% -0.20% 100.00% 8.02%
Industrials
10.18% -0.16% 19.00% 19.52%
Financial Services
10.16% -0.26% 100.00% 58.02%
Communication Services
7.53% -0.05% 100.00% 31.82%
Consumer Defense
5.99% -0.12% 99.87% 36.63%
Basic Materials
5.86% -0.04% 100.00% 22.73%
Energy
3.27% -0.08% 100.00% 44.12%
Utilities
2.93% -0.05% 100.00% 35.83%
Real Estate
1.39% -0.04% 51.26% 39.57%

Stock Geographic Breakdown

Weighting Return Low Return High AQRRX % Rank
US
18.30% -81.25% 99.38% 9.85%
Non US
9.13% -5.45% 99.98% 13.92%

Bond Sector Breakdown

Weighting Return Low Return High AQRRX % Rank
Government
66.61% -0.16% 263.38% 27.00%
Derivative
26.67% -62.05% 67.50% 12.10%
Cash & Equivalents
6.72% -221.24% 69.52% 39.80%
Securitized
0.00% 0.00% 89.51% 99.86%
Corporate
0.00% 0.00% 93.86% 99.86%
Municipal
0.00% 0.00% 31.06% 99.30%

Bond Geographic Breakdown

Weighting Return Low Return High AQRRX % Rank
Non US
113.76% -263.33% 569.75% 4.08%
US
112.51% -116.15% 7779.00% 5.77%

Expenses

AQRRX - Expenses

Operational Fees

AQRRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.38% 0.01% 43.49% 43.84%
Management Fee 0.60% 0.00% 2.50% 53.09%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.01% 0.50% N/A

Sales Fees

AQRRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.25% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

AQRRX 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.

AQRRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 233.00% 0.00% 479.00% 83.66%

Distributions

AQRRX - Distributions

Dividend Yield Analysis

AQRRX Category Low Category High AQRRX % Rank
Dividend Yield 0.00% 0.00% 9.00% 99.44%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

AQRRX Category Low Category High AQRRX % Rank
Net Income Ratio 0.48% -1.05% 9.08% 94.72%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

AQRRX - Fund Manager Analysis

Managers

John Liew


Start Date

Tenure

Tenure Rank

Sep 30, 2010

9.93

9.9%

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

Sep 30, 2010

9.93

9.9%

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.

Michael Mendelson


Start Date

Tenure

Tenure Rank

Sep 30, 2010

9.93

9.9%

Michael Mendelson is a Principal of AQR Capital Management, LLC. Prior to joining the company in July 2005, Mr. Mendelson was Managing Director and Head of Quantitative Trading at Goldman Sachs. Prior to that effort, he was Head of U.S. Program Trading at Goldman Sachs. Mr. Mendelson received an S.M. in Chemical Engineering from MIT along with an S.B. in Chemical Engineering, and S.B. in Mathematics, and an S.B. in Management. He also has an MBA from the University of California at Los Angeles.

John Huss


Start Date

Tenure

Tenure Rank

May 01, 2015

5.34

5.3%

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.

Lars Nielsen


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.67

0.7%

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.

Ronen Israel


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.67

0.7%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 28.45 5.99 5.93