QSPRX: AQR Style Premia Alternative R6

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QSPRX AQR Style Premia Alternative R6


Profile

QSPRX - Profile

Vitals

  • YTD Return -8.1%
  • 3 Yr Annualized Return -9.4%
  • 5 Yr Annualized Return -4.7%
  • Net Assets $1.52 B
  • Holdings in Top 10 N/A

52 WEEK LOW AND HIGH

$7.51
$7.30
$9.06

Expenses

OPERATING RELATED FEES

  • Expense Ratio 2.18%

SALES FEES

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

BROKERAGE FEES

  • Turnover 140.00%

TRADING FEES

  • Max Redemption Fee N/A

Min Investment

Closed to new investors as of Jan 29, 2016
  • Standard (Taxable) $100,000
  • IRA N/A

Fund Classification

  • Primary Caregory
  • Fund Type Open End Mutual Fund
  • Investment Style Multialternative

Distributions

  • YTD Total Return -8.1%
  • 3 Yr Annualized Total Return -9.4%
  • 5 Yr Annualized Total Return -4.7%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio 0.21%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Style Premia Alternative 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
    Ronen Israel

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. It may achieve its exposure to any of the Asset Groups by using derivatives rather than holding those assets directly. The fund is non-diversified.


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Categories

Performance

QSPRX - Performance

Return Ranking - Trailing

Period QSPRX Return Category Return Low Category Return High Rank in Category (%)
YTD -8.1% -42.3% 12.3% 44.49%
1 Yr -16.6% -49.9% 18.0% 88.49%
3 Yr -9.4%* -29.1% 7.1% 92.66%
5 Yr -4.7%* -20.5% 19.1% 83.17%
10 Yr N/A* -11.0% 10.2% N/A

* Annualized

Return Ranking - Calendar

Period QSPRX Return Category Return Low Category Return High Rank in Category (%)
2019 -9.5% -21.7% 32.8% 98.85%
2018 -13.3% -35.5% 3.9% 92.28%
2017 4.7% -15.9% 20.0% 55.46%
2016 -2.1% -11.7% 219.0% 95.80%
2015 2.8% -29.9% 14.0% 1.95%

Total Return Ranking - Trailing

Period QSPRX Return Category Return Low Category Return High Rank in Category (%)
YTD -8.1% -42.3% 12.3% 44.49%
1 Yr -16.6% -49.9% 18.0% 88.49%
3 Yr -9.4%* -29.1% 7.1% 96.25%
5 Yr -4.7%* -20.5% 25.3% 89.94%
10 Yr N/A* -11.0% 17.6% N/A

* Annualized

Total Return Ranking - Calendar

Period QSPRX Return Category Return Low Category Return High Rank in Category (%)
2019 -9.5% -21.7% 32.8% 98.85%
2018 -13.3% -35.5% 3.9% 95.16%
2017 4.7% -15.9% 21.6% 67.88%
2016 -2.1% -10.4% 242.1% 96.53%
2015 2.8% -29.9% 22.6% 3.90%

NAV & Total Return History


Holdings

QSPRX - Holdings

Concentration Analysis

QSPRX Category Low Category High QSPRX % Rank
Net Assets 1.52 B 884 K 13.5 B 16.88%
Number of Holdings 1748 4 4730 3.52%
Net Assets in Top 10 12 B -1.05 B 12 B 0.14%
Weighting of Top 10 N/A 5.6% 362.0% 0.66%

Top 10 Holdings

  1. 2 Year Treasury Note Future Mar20 291.55%
  2. 90 Day Bank Accepted Bills Future June20 125.35%
  3. 90 Day Bank Accepted Bills Future Sept20 122.79%
  4. AUST 3YR BOND FUT BOND 16/MAR/2020 YMH0 COMDTY 102.92%
  5. 3 Month Sterling Short Sterling Future Sept20 99.37%
  6. 3 Month Sterling Short Sterling Future June20 98.12%
  7. 90 Day Bank Accepted Bills Future Dec20 87.31%
  8. 3 Month Sterling Short Sterling Future Dec20 81.66%
  9. EURO-BUND FUTURE BOND 06/MAR/2020 RXH0 COMDTY 71.64%
  10. Eurodollar Future June20 55.49%

Asset Allocation

Weighting Return Low Return High QSPRX % Rank
Bonds
414.44% 80.25% 414.44% 0.14%
Other
23.12% -45.70% 49.32% 2.25%
Stocks
22.65% -100.67% 110.51% 17.75%
Preferred Stocks
0.00% 0.00% 11.06% 22.96%
Convertible Bonds
0.00% 0.00% 15.47% 62.82%
Cash
-360.21% -360.21% 78.90% 99.72%

Bond Sector Breakdown

Weighting Return Low Return High QSPRX % Rank
Government
79.31% -0.16% 263.38% 15.77%
Derivative
15.20% -6.01% 60.20% 20.42%
Cash & Equivalents
5.48% -221.24% 51.46% 51.69%
Securitized
0.00% 0.00% 89.51% 49.15%
Corporate
0.00% 0.00% 120.52% 90.85%
Municipal
0.00% 0.00% 56.44% 19.58%

Bond Geographic Breakdown

Weighting Return Low Return High QSPRX % Rank
Non US
337.33% -133.95% 337.33% 0.14%
US
77.11% -12.00% 340.86% 19.01%

Expenses

QSPRX - Expenses

Operational Fees

QSPRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.18% 0.01% 38.91% 15.74%
Management Fee 1.35% 0.00% 2.50% 95.90%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.01% 0.50% N/A

Sales Fees

QSPRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.00% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

QSPRX 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.

QSPRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 140.00% 0.00% 479.00% 69.13%

Distributions

QSPRX - Distributions

Dividend Yield Analysis

QSPRX Category Low Category High QSPRX % Rank
Dividend Yield 0.00% 0.00% 4.75% 16.03%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

QSPRX Category Low Category High QSPRX % Rank
Net Income Ratio 0.21% -2.28% 11.37% 96.03%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

QSPRX - Fund Manager Analysis

Managers

Ronen Israel


Start Date

Tenure

Tenure Rank

Oct 30, 2013

6.42

6.4%

Ronen joined AQR Capital Management in 1999 and is a Principal and lead portfolio manager of the DELTA strategy. 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.

Andrea Frazzini


Start Date

Tenure

Tenure Rank

Oct 30, 2013

6.42

6.4%

Andrea is a Principal on AQR’s Global Stock Selection team, focusing on research and portfolio management of the Firm’s Long/Short and Long-Only equity strategies. 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 award, the BGI best paper award, several Bernstein Fabozzi/Jacobs Levy Awards, and the PanAgora Crowell Memorial Prize. Prior to AQR in 2008, 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 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.

Michael Katz


Start Date

Tenure

Tenure Rank

Oct 30, 2013

6.42

6.4%

Michael Katz, Ph.D., A.M., is a Vice President of the AQR Capital Management, LLC. Dr. Katz joined the AQR Capital Management, LLC. in 2007 and oversees research and portfolio management for macro, fixed-income and inflation-related strategies. 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

0.25

0.3%

Yao Hua Ooi is a Principal at AQR Capital Management. He leads the Research and Portfolio Management teams focused on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy 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
0.01 29.27 5.94 10.59