Continue to site >
Trending ETFs
You have successfully subscribed to Advisor Access. Thank you!
Help us personalize your experience.
Which type of investor describes you best?
Help us personalize your experience.
What is your AUM?
Knowing your investable assets will help us build and prioritize features that will suit your investment needs.

Congratulations on personalizing your experience.

Email is verified. Thank you!

Name

As of 04/24/2024

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 Sustainable Long-Short Equity Carbon Aware Fund

QNZIX | Fund

$13.30

$23.2 M

19.92%

$2.65

2.93%

Vitals

YTD Return

16.6%

1 yr return

38.9%

3 Yr Avg Return

N/A

5 Yr Avg Return

N/A

Net Assets

$23.2 M

Holdings in Top 10

66.2%

52 WEEK LOW AND HIGH

$13.3
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 2.93%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 0.00%

Redemption Fee N/A

Min Investment

Standard (Taxable)

$5,000,000

IRA

N/A

Fund Classification

Fund Type

Open End Mutual Fund

Name

As of 04/24/2024

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 Sustainable Long-Short Equity Carbon Aware Fund

QNZIX | Fund

$13.30

$23.2 M

19.92%

$2.65

2.93%

QNZIX - Profile

Distributions

  • YTD Total Return 16.6%
  • 3 Yr Annualized Total Return N/A
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.29%
DIVIDENDS
  • Dividend Yield 19.9%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    AQR Sustainable Long-Short Equity Carbon Aware Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Dec 16, 2021
  • Shares Outstanding
    N/A
  • Share Class
    I
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    John Liew

Fund Description

The Fund seeks to achieve its investment objective by investing in or having exposure to securities of U.S. and foreign issuers through the construction of a long-short investment portfolio that favors attractive companies as determined by the Adviser’s proprietary quantitative investment indicators and certain Environmental, Social and Governance (“ESG”) criteria. The Adviser utilizes these criteria to implement a sustainable investment approach that considers the ESG characteristics of investments when constructing the Fund’s portfolio. The Fund seeks to provide returns from both the potential gains from its long-short equity positions and its overall exposure to equity markets, while seeking to manage the Fund’s exposure to greenhouse gas emissions by targeting a zero net carbon positioning of the long-short investment portfolio. The Fund also seeks to provide higher risk-adjusted returns with lower volatility compared to global equity markets. A detailed description of the Fund’s investment approach, including how the Fund implements its zero net carbon positioning target, is set forth below.Investment ApproachWhen constructing a sustainable portfolio for the Fund, the Adviser first utilizes static and dynamic ESG filters, based on third-party data, to exclude companies from the Fund’s long position investment universe. There is no filter applied to the Fund’s short position investment universe.•The static ESG filter prohibits any long exposure to issuers the Adviser has determined to exclude, based on third-party data, due to their engagement in industries that the Adviser views as having particularly poor ESG characteristics, such as: tobacco, controversial weapons (including but not limited to cluster munitions, land mines and biochemical weapons) and fossil fuels. The Adviser may from time to time restrict additional industries that it views as having particularly poor ESG characteristics. For the avoidance of doubt, the static ESG filter on the aforementioned industries will be implemented by the Adviser based upon criteria it determines, in its sole discretion, to reasonably identify issuers engaged in a particular industry, such as the percentage of an issuer’s revenue derived from the industry. This criteria does not exclude from the Fund’s investment universe issuers with de minimis direct or indirect exposure to the industry at any point in time.•Using a dynamic ESG filter, the Adviser will exclude long positions in companies ranked approximately in the bottom 10% of the investment universe for their ESG characteristics as evaluated by the Adviser using third-party data.Once the above filters have been applied, the Adviser uses a set of value, momentum, quality and other quantitative investment indicators to generate a long-short investment portfolio based on the Adviser’s global security selection and asset allocation models, with weighting to each position, long or short, based on the Adviser’s determination of each position’s attractiveness or unattractiveness, respectively. Certain of these quantitative investment indicators take into account certain ESG characteristics where the Adviser believes they will improve the portfolio’s returns.•Value indicators identify investments that appear cheap based on fundamental measures. Examples of value indicators include using price-to-earnings and price-to-book ratios and governance-related indicators, such as companies that the Adviser believes are growing too quickly and may therefore have overpriced valuations.•Momentum indicators identify investments showing signs of improvement, whether based on prices or fundamentals. Examples of momentum indicators include simple price momentum for choosing individual equities based on strong recent performance.•Quality indicators identify stable companies in good business health, including those with strong profitability and stable earnings, sound accounting practices, and low exposure to climate-related risks.•Sentiment indicators identify companies favored by a variety of important stakeholders (for example, high-conviction investors, corporate management, their customers, and/or broader society), and companies that have shareholder-friendly and transparent management.The Adviser may also use a number of additional indicators based on the Adviser’s proprietary research. The Advisermay add or modify the economic indicators employed in selecting portfolio holdings from time to time.The Adviser then actively seeks to tilt the Fund’s portfolio towards companies with superior ESG characteristics, by overweighting its long positions in certain companies determined by the Adviser to have superior ESG characteristics and increasing its short positions in certain companies determined by the Adviser to have poor ESG characteristics.ESG characteristics are determined in the Adviser’s discretion using a combination of the Adviser’s proprietary models, as well as third-party ESG ratings data, with the aim of identifying the extent to which each company in the universe is exposed to, and how well it manages, a range of environmental, social and governance issues. The ESG characteristics may change over time or vary depending on sector or industry. ESG characteristics taken into account include among others:•Environmental: greenhouse gas emissions, resource depletion, waste and pollution;•Social: product safety and quality, health and safety, employee relations;•Governance: executive pay, bribery and corruption, anti-competitive strategy, tax strategy.The Adviser’s evaluation of the ESG characteristics is designed to identify companies (i) with exposure to environmental, social, and governance risks, particularly those that have more potential to be financially relevant, or (ii) that may not be adequately managing such exposures in their underlying businesses. Examples of such risks may include climate change, demographic shifts, or anti-corruption. The Fund’s investment strategy is not designed to eliminate all exposure to companies that are considered to be problematic under ESG standards. Rather, the investment strategy is designed to tilt the portfolio in favor of companies that have superior ESG characteristics, while restricting long positions, or taking short positions, in certain companies and industries the Adviser has identified as having the worst ESG characteristics.The Fund’s short portfolio construction process will seek (i) to express more fully the Adviser’s active views, including ESG-related alpha signals, on an investment than is possible with underweighting or fully divesting; and/or (ii) to hedge against ESG type risks associated with the Fund’s long exposure to certain issuers with less optimal ESG characteristics, such as a company’s exposure to climate related risks. In the aggregate the Fund expects to have net long exposure to the equity markets, which the Adviser may adjust over time. Given the expected net long exposure, the Fund is not designed to be market-neutral.The Adviser also seeks to manage the Fund’s exposure to greenhouse gas emissions by targeting a zero net carbon positioning, in which the carbon footprint of the companies the Fund holds long is netted against the carbon footprint of the companies the Fund holds short, such that the portfolio’s overall carbon footprint will be equal to or less than zero on a net notional exposure basis. When measuring the carbon footprint of a company, the Adviser uses a combination of the Adviser’s proprietary models as well as third party data to assess emissions of the company. These emissions estimates may include, but are not limited to, the emissions directly emitting from sources that are owned or controlled by a company or the emissions from the consumption of purchased electricity, steam or other sources of energy generated upstream from a company’s direct operations. The Fund does not currently take into account Scope 3 emissions, which include indirect emissions occurring in a company’s value chain (e.g., purchased goods/services, use of sold products, investments, and leased assets and franchises). The carbon footprint of the Fund’s financial position in a company is measured by calculating the proportion of the Fund's exposure to the company’s total market capitalization and applying that proration to the company's total carbon footprint, as measured by the Adviser. The long portfolio’s carbon footprint is the aggregate amount of this prorated score for each long position and is targeted to be equal to or less than the aggregate amount of the prorated score for each short position of the Fund. For example, if the Fund’s long portfolio’s aggregate carbon footprint is 100 tons of CO2 equivalent, per $1M of exposure, the Fund will target a short portfolio aggregate carbon footprint of 100 tons of CO2 equivalent, per $1M of exposure, or more.Additional InformationUnder normal market conditions, the Fund pursues its investment objective by investing at least 80% of its net assets (including borrowings for investment purposes) in equity instruments and equity-related and/or derivative instruments. Equity instruments include common stock, preferred stock, depositary receipts and shares or interests in real estate investment trusts (“REITs”) or REIT-like entities (collectively, “Equity Instruments”). Equity-related and/or derivative instruments are investments that provide exposure to the performance of equity instruments, including equity swaps (both single-name and index swaps), equity index futures and exchange-traded funds and similar pooled investment vehicles (collectively, “Equity Derivative Instruments” and together with Equity Instruments, “Instruments”). The Fund may invest in or have exposure to companies of any size. The Fund has no geographic limits on where it may invest. However, the Fund will generally invest in Instruments of companies located in global developed markets, including the United States. As of the date of this prospectus, the Adviser considers global developed markets to be those countries included in the MSCI World Index. The Fund does not limit its investments to any one country or currency denomination and may invest in any one country or currency denomination without limit. The Fund may, but is not required to, hedge exposure to foreign currencies using foreign currency forwards or futures.The Fund is not designed to be market-neutral. The Adviser, on average, intends to target a market portfolio beta of 0.5 to broad global equity markets. The Adviser expects that the portfolio’s actual market beta will typically range from 0.3 to 0.7. Beta is a measure of the Fund’s portfolio’s sensitivity to both the volatility and directional return of the broad global equities markets. A beta of 1.0 means the portfolio is substantially correlated to both the volatility and the directional return of the broad global equity markets and a beta of 0.0 means the portfolio’s volatility and return have no correlation to those of the broad global equity markets. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. Higher volatility generally indicates higher risk.Beyond the volatility associated with the Fund’s long-term market beta target, the Adviser, on average, will target an additional (i.e., active) annualized average, long-term volatility level for the Fund of 4-9%. While this active annualized volatility level is expected to be targeted over the long run, the Adviser may, on occasion, tactically target a level of volatility outside of this range.Given these two sources of volatility (i.e., the market volatility associated with the Fund’s market beta target and the Fund’s additional active security selection volatility target) and given there is no precise way to predict the market volatility over any particular period, the total volatility of the Fund is expected to be higher, potentially significantly higher, than the 4-9% active volatility target. Actual or realized volatility experienced by the Fund can and will differ from the forecasted or target volatility described above.The Fund, when taking a long equity position, will purchase a security that will benefit from an increase in the price of that security. When taking a short equity position, the Fund borrows the security from a third party and sells it at the then current market price. A short equity position will benefit from a decrease in price of the security and will lose value if the price of the security increases. Similarly, the Fund also takes long and short positions in Equity Derivative Instruments. A long position in an Equity Derivative Instrument will benefit from an increase in the price of the underlying instrument. A short position in an Equity Derivative Instrument will benefit from a decrease in the price of the underlying instrument and will lose value if the price of the underlying instrument increases. Simultaneously engaging in long investing and short selling is designed to reduce the net exposure of the overall portfolio to general market movements.The Fund uses Equity Derivative Instruments and foreign currency forwards as a substitute for investing in conventional securities and for investment purposes to increase its economic exposure to a particular security, index or currency in a cost-effective manner. At times, the Fund may gain all equity or currency exposure through the use of Equity Derivative Instruments and currency derivative instruments, and may invest in such instruments without limitation. The Fund’s use of Equity Derivative Instruments and currency derivative instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset underlying an Equity Derivative Instrument or currency derivative instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund did not use Equity Derivative Instruments and currency derivative instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset through an Equity Derivative Instrument providing leveraged exposure to the asset and that Equity Derivative Instrument increases in value, the gain to the Fund will be magnified. If that investment decreases in value, however, the loss to the Fund will be magnified. A decline in the Fund’s assets due to losses magnified by the Equity Derivative Instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations or to meet redemption requests when it may not be advantageous to do so. There is no assurance that the Fund’s use of Equity Derivative Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.A significant portion of the Fund’s assets may be held in cash or cash equivalents including, but not limited to, money market instruments, U.S. treasury bills, interests in short-term investment funds or shares of money market or short-term bond funds. These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund.When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Fund is expected to have annual turnover in excess of 100%, although actual portfolio turnover may be higher or lower and will be affected by market conditions. This estimated annual portfolio turnover rate is based on the expected regular turnover resulting from the Fund’s implementation of its investment strategy, and does not take into account turnover that may occur as a result of purchases and redemptions into and out of the Fund’s portfolio. A higher portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional expenses, which are borne by the Fund and may negatively affect the Fund’s performance, and may have adverse tax consequences.
Read More

QNZIX - Performance

Return Ranking - Trailing

Period QNZIX Return Category Return Low Category Return High Rank in Category (%)
YTD 16.6% -8.0% 16.6% 1.19%
1 Yr 38.9% -13.6% 39.1% 1.79%
3 Yr N/A* -20.7% 27.0% N/A
5 Yr N/A* -4.3% 25.4% N/A
10 Yr N/A* -4.1% 10.1% N/A

* Annualized

Return Ranking - Calendar

Period QNZIX Return Category Return Low Category Return High Rank in Category (%)
2023 0.2% -17.3% 43.8% 73.21%
2022 N/A -54.0% 17.4% N/A
2021 N/A -40.0% 54.1% N/A
2020 N/A -47.6% 88.4% N/A
2019 N/A -20.3% 62.6% N/A

Total Return Ranking - Trailing

Period QNZIX Return Category Return Low Category Return High Rank in Category (%)
YTD 16.6% -8.0% 16.6% 1.19%
1 Yr 38.9% -13.6% 39.1% 1.79%
3 Yr N/A* -20.7% 27.0% N/A
5 Yr N/A* -4.3% 25.4% N/A
10 Yr N/A* -4.1% 10.1% N/A

* Annualized

Total Return Ranking - Calendar

Period QNZIX Return Category Return Low Category Return High Rank in Category (%)
2023 23.6% -14.5% 43.8% 10.71%
2022 N/A -54.0% 50.3% N/A
2021 N/A -40.0% 61.6% N/A
2020 N/A -29.9% 91.0% N/A
2019 N/A -17.9% 79.4% N/A

NAV & Total Return History

QNZIX - Holdings

Concentration Analysis

QNZIX Category Low Category High QNZIX % Rank
Net Assets 23.2 M 1.08 M 6.67 B 86.39%
Number of Holdings 215 3 1788 28.92%
Net Assets in Top 10 15.4 M 474 K 2.09 B 79.52%
Weighting of Top 10 66.23% 0.4% 182.8% 25.30%

Top 10 Holdings

  1. Limited Purpose Cash Investment Fund 42.84%
  2. U.S. Treasury Bills 7.17%
  3. U.S. Treasury Bills 6.95%
  4. U.S. Treasury Bills 4.07%
  5. U.S. Treasury Bills 2.16%
  6. U.S. Treasury Bills 0.81%
  7. Total Return Basket Swap 0.77%
  8. Total Return Basket Swap 0.76%
  9. Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 0.45%
  10. Total Return Basket Swap 0.26%

Asset Allocation

Weighting Return Low Return High QNZIX % Rank
Cash 		99.90% 0.00% 102.08% 2.41%
Other 		0.10% -45.12% 99.51% 38.55%
Stocks 		0.00% 0.00% 102.24% 93.98%
Preferred Stocks 		0.00% 0.00% 8.29% 46.99%
Convertible Bonds 		0.00% -0.02% 4.48% N/A
Bonds 		0.00% 0.00% 178.67% 51.20%

QNZIX - Expenses

Operational Fees

QNZIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.93% 0.42% 8.51% 17.75%
Management Fee 1.10% 0.00% 2.50% 38.46%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.03% 1.54% N/A

Sales Fees

QNZIX 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% 4.00% N/A

Trading Fees

QNZIX 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.

QNZIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 479.00% 3.03%

QNZIX - Distributions

Dividend Yield Analysis

QNZIX Category Low Category High QNZIX % Rank
Dividend Yield 19.92% 0.00% 27.27% 4.17%

Dividend Distribution Analysis

QNZIX Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annual

Net Income Ratio Analysis

QNZIX Category Low Category High QNZIX % Rank
Net Income Ratio -1.29% -3.33% 2.16% 71.86%

Capital Gain Distribution Analysis

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

Distributions History

View More +

QNZIX - Fund Manager Analysis

Managers

John Liew

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

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.

Andrea Frazzini

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

Andrea Frazzini is a Principal at AQR Capital Management, where he is the Head of our Global Stock Selection team. 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 Prize, the BGI Michael Brennan Award, several Bernstein Fabozzi/Jacobs Levy Awards and the PanAgora Crowell Memorial Prize. Prior to joining 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 was 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.

Michele Aghassi

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

Michele Aghassi is a Principal at AQR Capital Management, where she serves as a portfolio manager for the firm's equity strategies. Throughout her tenure at AQR, she has been a leader in research and strategy development, contributing to the advancement of the stock selection investment process. She played a key role in launching the firm’s emerging equities strategy in 2008 and developed the proprietary robust optimization technology that AQR uses to build portfolios. In addition to her responsibilities at AQR, she serves on the Editorial Advisory Board of The Journal of Portfolio Management. Earlier in her career, Michele worked as a quantitative analyst in the proprietary equities department of D.E. Shaw & Co. Michele graduated magna cum laude from Brown University with a B.Sc. in applied mathematics and subsequently earned a Ph.D. in operations research from the Massachusetts Institute of Technology, where she was a National Science Foundation Graduate Research Fellow and an MIT Presidential Graduate Fellow.

Lukasz Pomorski

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

Lukasz Pomorski, Ph.D., M.A., is a Managing Director of the Adviser. Dr. Pomorski joined the Adviser in 2014 and is Head of ESG Research. In this role he is responsible for the planning and oversight of the Adviser’s responsible investment research efforts across all asset classes. Dr. Pomorski earned a B.A. and M.A. in economics at the Warsaw School of Economics, an M.A. in finance at Tilburg University, and a Ph.D. in finance at the University of Chicago.

John Huss

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

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.

Clifford Asness

Start Date

Tenure

Tenure Rank

Dec 16, 2021

0.45

0.5%

Dr. Asness is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an research notable for its relevance and enduring value to investment professionals. Prior to co-founding AQR Capital Management, he was a Managing Director and Director of Quantitative Research for the Asset Management Division of Goldman, Sachs & Co. Dr. Asness is on the editorial board of The Journal of Portfolio Management, the governing board of the Courant Institute of Mathematical Finance at NYU, the Board of Directors of the Q-Group.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.07 23.55 6.07 7.93

Advertisement

×

Wait! Do you know all the important aspects of mutual funds?

×

Free Advisor Access newsletter emailed to you.

Receive free and exclusive email updates for financial advisors about best performers, news, CE accredited webcasts and more.

Sign up for Advisor Access

Receive email updates about best performers, news, CE accredited webcasts and more.

Disclaimer: By registering, you agree to share your data with MutualFunds.com and opt-in to receiving occasional communications about projects and events. The contents of this form are subject to the MutualFunds.com Privacy Policy. You can unsubscribe at any time.