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Name

As of 12/20/2024

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 Style Premia Alternative Fund

QSPNX | Fund

$7.50

$1.19 B

6.96%

$0.52

5.46%

Vitals

YTD Return

18.7%

1 yr return

17.6%

3 Yr Avg Return

21.0%

5 Yr Avg Return

10.5%

Net Assets

$1.19 B

Holdings in Top 10

55.9%

52 WEEK LOW AND HIGH

$7.5
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 5.46%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 194.00%

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 12/20/2024

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 Style Premia Alternative Fund

QSPNX | Fund

$7.50

$1.19 B

6.96%

$0.52

5.46%

QSPNX - Profile

Distributions

  • YTD Total Return 18.7%
  • 3 Yr Annualized Total Return 21.0%
  • 5 Yr Annualized Total Return 10.5%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.63%
DIVIDENDS
  • Dividend Yield 7.0%
  • Dividend Distribution Frequency Annual

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
    N
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Andrea Frazzini

Fund Description

The Fund pursues its investment objective by aiming to provide exposure to four separate investment styles (“Styles”): value, momentum, carry and defensive, using both long and short positions within the following asset groups (“Asset Groups”): equities, bonds, interest rates, commodities and currencies. The Fund will achieve its exposure to any of the Asset Groups by using derivatives or holding those assets directly. The Fund will also use derivatives for hedging purposes. The Fund implements the Styles by investing globally (including emerging markets) in a broad range of instruments, including, but not limited to, equities, futures (including commodity futures, index futures, equity futures, bond futures, currency futures and interest rate futures), currency and commodity forwards and swaps (including commodity swaps, swaps on commodity futures, equity swaps, swaps on index futures, total return swaps and interest rate swaps) (collectively, the “Instruments”). The Fund will either invest directly in the Instruments or indirectly by investing in the Subsidiary (as described below) that invests in the Instruments. The Fund may invest in or have exposure to companies of any size. The Fund may also invest in other registered investment companies including exchange-traded funds.The Fund’s exposure to equities includes securities of U.S. and non-U.S. issuers and equity indices representing the United States and non-U.S. countries, including, with respect to non-U.S. countries, those from emerging markets. For the bonds Asset Group, the Fund will have exposure to U.S. Government securities and sovereign debt issued by other developed market countries. The Fund may invest in debt securities of any credit rating, maturity or duration, which may include high-yield or “junk” bonds. From time to time, the Fund can have significant exposure to non-U.S. dollar denominated currencies, including emerging markets currencies. The Fund is generally intended to have a low correlation to the equity, bond and credit markets. The Fund also is not designed to match the performance of any hedge fund index. In order to minimize market impact and reduce trading costs, where applicable, the Fund will utilize a proprietary approach to algorithmic trading. The Adviser will attempt to mitigate risk through diversification of holdings and through active monitoring of volatility, counterparties and other risk measures. There is no assurance, however, that the Fund will achieve its investment objective.The Styles employed by the Fund are:Value: Value strategies favor investments that appear cheap over those that appear expensive based on fundamental measures related to price, seeking to capture the tendency for relatively cheap assets to outperform relatively expensive assets. The Fund will seek to buy assets that are “cheap” and sell those that are “expensive.” Examples of value measures include using price-to-earnings and price-to-book ratios for selecting equities.Momentum: Momentum strategies favor investments that have performed relatively well over those that have underperformed over the medium-term (i.e., one year or less), seeking to capture the tendency that an asset’s recent relative performance will continue in the near future. The Fund will seek to buy assets that recently outperformed their peers and sell those that recently underperformed. Examples of momentum measures include simple price momentum for selecting equities and price- and yield-based momentum for selecting bonds.Carry: Carry strategies favor investments with higher yields over those with lower yields, seeking to capture the tendency for higher-yielding assets to provide higher returns than lower-yielding assets. The Fund will seek to buy high-yielding assets and sell low-yielding assets. An example of carry measures includes using interest rates to select currencies and bonds.Defensive: Defensive strategies favor investments with low-risk characteristics over those with high-risk characteristics, seeking to capture the tendency for lower risk and higher-quality assets to generate higher risk-adjusted returns than higher risk and lower-quality assets. The Fund will seek to buy low-risk, high-quality assets and sell high-risk, low-quality assets. Examples of defensive measures include using beta (i.e., an investment’s sensitivity to the securities markets) to select equities.The Fund is actively managed and the Fund’s exposures to Styles and Asset Groups will vary based on the Adviser’songoing evaluation of investment opportunities. The Fund expects to maintain exposure to all four Styles; however, not all Styles are represented within each Asset Group. The portfolio construction process is a bottom up systematic process which begins with the ranking of a universe of investments within each Asset Group based upon each applicable Style using multiple measures, some of which are listed above. Investments ranking near the top of the universe contribute the largest long weights among the universe and investments ranking near the bottom of the universe contribute the largest short weights among the universe to produce the target Asset Group portfolio. For each Asset Group, the Styles included in that Asset Group each contribute position weights to the Asset Group portfolio, in such a way that each Style achieves roughly equal risk within the Asset Group. Asset Group portfolios are sized to also maintain a risk balanced allocation across Asset Groups within the Fund. Individual investments in the actual Asset Group portfolios are bought or sold during the rebalancing process, the frequency of which is expected to vary depending on the Asset Group and the Adviser’s ongoing evaluation of certain factors including changes in market conditions and how much the actual portfolio deviates from the target portfolio.The Adviser, on average, will target an annualized volatility level for the Fund of 10%. 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.  The Adviser expects that the Fund’s targeted annualized forecasted volatility will typically range between 8% and 15%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above.The Fund’s strategy engages in frequent portfolio trading which may result in a higher portfolio turnover rate than a fund with less frequent trading, and correspondingly greater brokerage commissions and other transactional expenses, which are borne by the Fund, and may have adverse tax consequences.The Adviser will consider the potential federal income tax impact on the shareholders' after-tax investment return of certain trading decisions, including but not limited to, selling or closing out of Instruments to realize losses, or refraining from selling or closing out of Instruments to avoid realizing gains, when determined by the Adviser to be appropriate. The Adviser will also take into consideration various tax rules pertaining to holding periods, wash sales and tax straddles.A portion of the Fund's assets may be held in cash or cash equivalent investments, with one year or less to maturity, including, but not limited to, money market instruments and U.S. Government securities (collectively, “Cash Equivalents”). The cash or Cash Equivalent holdings earn income for the Fund and can be held as unencumbered assets of the Fund or serve as collateral for the positions that the Fund takes on.The Fund intends to make investments through the Subsidiary and may invest up to 25% of its total assets in the Subsidiary. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company. Generally, the Subsidiary will invest primarily in commodity-linked derivative instruments, such as commodity futures, forwards and swaps (which may include swaps on commodity futures), and will hold cash and Cash Equivalents. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 on a consolidated basis with respect to investments in derivatives. In addition, the Fund and the Subsidiary will be subject to the same fundamental investment restrictions on a consolidated basis and, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company under Subchapter M of the Code. The Fund is the sole shareholder of the Subsidiaryand does not expect shares of the Subsidiary to be offered or sold to other investors.
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QSPNX - Performance

Return Ranking - Trailing

Period QSPNX Return Category Return Low Category Return High Rank in Category (%)
YTD 18.7% -73.0% 19.4% 1.08%
1 Yr 17.6% -9.1% 86.9% 84.36%
3 Yr 21.0%* -9.5% 16.2% 100.00%
5 Yr 10.5%* -4.9% 14.4% 96.86%
10 Yr 5.0%* -0.9% 7.5% N/A

* Annualized

Return Ranking - Calendar

Period QSPNX Return Category Return Low Category Return High Rank in Category (%)
2023 -8.8% -22.7% 305.1% 98.89%
2022 6.2% -9.8% 27.3% 100.00%
2021 10.4% -20.8% 10.9% 93.78%
2020 -22.2% -12.4% 29.4% 29.70%
2019 -9.8% -10.5% 15.8% 78.53%

Total Return Ranking - Trailing

Period QSPNX Return Category Return Low Category Return High Rank in Category (%)
YTD 18.7% -73.0% 19.4% 1.08%
1 Yr 17.6% -13.4% 86.9% 82.18%
3 Yr 21.0%* -9.5% 16.2% 100.00%
5 Yr 10.5%* -5.3% 14.4% 96.86%
10 Yr 5.0%* -0.9% 7.5% N/A

* Annualized

Total Return Ranking - Calendar

Period QSPNX Return Category Return Low Category Return High Rank in Category (%)
2023 12.5% -22.7% 305.1% 98.89%
2022 30.3% -9.8% 27.3% 100.00%
2021 24.5% -20.8% 10.9% 93.33%
2020 -22.2% -8.4% 29.4% 50.99%
2019 -8.3% -10.2% 18.0% 82.20%

NAV & Total Return History

QSPNX - Holdings

Concentration Analysis

QSPNX Category Low Category High QSPNX % Rank
Net Assets 1.19 B 1.5 M 5.01 B 18.08%
Number of Holdings 3133 4 4478 4.24%
Net Assets in Top 10 671 M -398 M 2.55 B 9.54%
Weighting of Top 10 55.89% 13.1% 100.0% 1.99%

Top 10 Holdings

  1. Limited Purpose Cash Investment Fund 30.10%
  2. U.S. Treasury Bills 3.32%
  3. Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 3.29%
  4. U.S. Treasury Bills 3.19%
  5. U.S. Treasury Bills 2.96%
  6. U.S. Treasury Bills 2.89%
  7. U.S. Treasury Bills 2.69%
  8. U.S. Treasury Bills 2.56%
  9. U.S. Treasury Bills 2.54%
  10. U.S. Treasury Bills 2.36%

Asset Allocation

Weighting Return Low Return High QSPNX % Rank
Cash 		85.77% -6278.21% 410.43% 3.18%
Stocks 		16.98% -3.75% 97.95% 91.87%
Convertible Bonds 		0.00% 0.00% 87.92% 83.75%
Bonds 		0.00% -326.45% 6347.80% 97.17%
Preferred Stocks 		-1.23% -0.12% 46.97% 74.56%
Other 		-1.52% -21.53% 148.54% 4.24%

Stock Sector Breakdown

Weighting Return Low Return High QSPNX % Rank
Utilities 		0.00% 0.00% 9.23% 78.23%
Technology 		0.00% 0.00% 39.58% 62.90%
Real Estate 		0.00% 0.00% 51.26% 92.74%
Industrials 		0.00% 0.00% 21.45% 31.45%
Healthcare 		0.00% 0.00% 45.63% 33.87%
Financial Services 		0.00% 0.00% 59.28% 58.87%
Energy 		0.00% 0.00% 100.00% 100.00%
Communication Services 		0.00% 0.00% 21.78% 98.39%
Consumer Defense 		0.00% 0.00% 13.62% 93.55%
Consumer Cyclical 		0.00% 0.00% 29.09% 70.16%
Basic Materials 		0.00% 0.00% 27.46% 66.13%

Stock Geographic Breakdown

Weighting Return Low Return High QSPNX % Rank
US 		11.24% -8.85% 91.88% 77.03%
Non US 		5.74% -19.62% 42.11% 95.05%

QSPNX - Expenses

Operational Fees

QSPNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 5.46% 0.29% 31.15% 44.24%
Management Fee 1.30% 0.00% 2.50% 78.80%
12b-1 Fee 0.25% 0.00% 1.00% 54.73%
Administrative Fee N/A 0.01% 0.30% N/A

Sales Fees

QSPNX 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

QSPNX 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.

QSPNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 194.00% 0.00% 491.00% 57.26%

QSPNX - Distributions

Dividend Yield Analysis

QSPNX Category Low Category High QSPNX % Rank
Dividend Yield 6.96% 0.00% 4.56% 65.02%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

QSPNX Category Low Category High QSPNX % Rank
Net Income Ratio -1.63% -2.51% 6.83% 93.53%

Capital Gain Distribution Analysis

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

Distributions History

View More +

QSPNX - Fund Manager Analysis

Managers

Andrea Frazzini

Start Date

Tenure

Tenure Rank

Oct 30, 2013

8.59

8.6%

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.

Yao Ooi

Start Date

Tenure

Tenure Rank

Jan 01, 2020

2.41

2.4%

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.

Scott Metchick

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Scott Metchick is a Principal of the Adviser. Mr. Metchick joined the Adviser in 2012 where he is a senior member of the Research and Portfolio management team responsible for the firm’s Alternative Risk Premia and Multi-Strategy products. Mr. Metchick earned his B.S. in finance from Lehigh University.

John Huss

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

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.

Jordan Brooks

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Jordan Brooks is a Principal at AQR Capital Management, where he is the Co-Head of the Macro Strategies Group. In this role, he oversees equity index, fixed income, currency, and risk parity research, and is a portfolio manager for the firm’s risk parity, global macro, and multi-strategy portfolios. Jordan is also a Lecturer in Management at Yale University and an Adjunct Professor of Finance at New York University. He has published numerous articles on fixed income, global macro, and the intersection of asset pricing and macroeconomics. Prior to joining AQR, Jordan was a teaching fellow in the economics department at New York University, and a dissertation intern in the division of monetary affairs at the Federal Reserve Board of Governors and in the capital markets group at the Federal Reserve Bank of New York. Jordan earned a B.A. in economics and mathematics from Boston College, and an M.A. and Ph.D., both in economics, from New York University.

Ashwin Thapar

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Ashwin Thapar is a Principal and senior member of the Research and Portfolio Management team at AQR Capital Management. In his role, he co-heads research and portfolio management efforts on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy products. Ashwin has published research on topics including currency hedging, deep value and alternative risk premia investing and is a frequent conference presenter on these topics. Ashwin earned a B.Sc. in finance and a B.A. in mathematics from the University of Pennsylvania, graduating summa cum laude in both fields.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.02 17.37 4.48 1.67

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