AQR TM Small Cap Multi-Style R6
Name
As of 03/12/2021Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
Vitals
YTD Return
23.0%
1 yr return
49.3%
3 Yr Avg Return
11.1%
5 Yr Avg Return
13.7%
Net Assets
$24.9 M
Holdings in Top 10
13.7%
52 WEEK LOW AND HIGH
Expenses
OPERATING FEES
Expense Ratio 1.23%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 55.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$50,000,000
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 03/12/2021Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
QSSRX - Profile
Distributions
- YTD Total Return 23.0%
- 3 Yr Annualized Total Return 11.1%
- 5 Yr Annualized Total Return 13.7%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio 0.67%
- Dividend Yield 0.6%
- Dividend Distribution Frequency Annually
Fund Details
-
Legal NameAQR TM Small Cap Multi-Style Fund
-
Fund Family NameAQR Funds
-
Inception DateFeb 11, 2015
-
Shares OutstandingN/A
-
Share ClassRetirement
-
CurrencyUSD
-
Domiciled CountryUnited States
-
ManagerAndrea Frazzini
Fund Description
QSSRX - Performance
Return Ranking - Trailing
Period | QSSRX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 23.0% | -9.2% | 39.8% | 15.44% |
1 Yr | 49.3% | -37.8% | 97.2% | 19.36% |
3 Yr | 11.1%* | -19.1% | 23.4% | 52.10% |
5 Yr | 13.7%* | -2.7% | 24.2% | 64.40% |
10 Yr | N/A* | 1.0% | 13.9% | N/A |
* Annualized
Return Ranking - Calendar
Period | QSSRX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 14.4% | -51.0% | 110.8% | 26.83% |
2022 | 18.9% | -54.6% | 48.3% | 61.56% |
2021 | -18.1% | -67.3% | 0.0% | 32.75% |
2020 | 6.6% | -62.9% | 36.3% | 37.52% |
2019 | 19.8% | -3.5% | 34.1% | 32.87% |
Total Return Ranking - Trailing
Period | QSSRX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 23.0% | -9.2% | 39.8% | 17.03% |
1 Yr | 49.3% | -40.9% | 97.2% | 17.37% |
3 Yr | 11.1%* | -20.1% | 23.4% | 49.03% |
5 Yr | 13.7%* | -3.2% | 24.2% | 62.12% |
10 Yr | N/A* | 1.0% | 13.9% | N/A |
* Annualized
Total Return Ranking - Calendar
Period | QSSRX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 14.4% | -51.0% | 110.8% | 26.83% |
2022 | 18.9% | -54.6% | 48.3% | 61.56% |
2021 | -18.1% | -67.1% | 0.0% | 52.37% |
2020 | 6.6% | -17.6% | 52.6% | 75.39% |
2019 | 19.8% | -3.5% | 34.1% | 52.56% |
NAV & Total Return History
QSSRX - Holdings
Concentration Analysis
QSSRX | Category Low | Category High | QSSRX % Rank | |
---|---|---|---|---|
Net Assets | 24.9 M | 150 K | 127 B | 92.88% |
Number of Holdings | 572 | 1 | 2541 | 23.00% |
Net Assets in Top 10 | 3.1 M | 63.7 K | 4.66 B | 94.43% |
Weighting of Top 10 | 13.66% | 3.1% | 100.0% | 58.22% |
Top 10 Holdings
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
- E-mini Russell 2000 Index Future Dec 20 5.40%
Asset Allocation
Weighting | Return Low | Return High | QSSRX % Rank | |
---|---|---|---|---|
Stocks | 99.19% | 3.66% | 102.89% | 34.71% |
Other | 4.10% | -8.00% | 11.49% | 1.57% |
Preferred Stocks | 0.05% | 0.00% | 11.31% | 5.00% |
Convertible Bonds | 0.00% | 0.00% | 2.24% | 83.00% |
Bonds | 0.00% | 0.00% | 48.32% | 84.00% |
Cash | -3.34% | -17.82% | 55.73% | 98.71% |
Stock Sector Breakdown
Weighting | Return Low | Return High | QSSRX % Rank | |
---|---|---|---|---|
Consumer Cyclical | 18.44% | 0.00% | 38.52% | 6.20% |
Industrials | 17.55% | 2.32% | 41.95% | 50.86% |
Healthcare | 17.37% | 0.00% | 53.75% | 39.34% |
Technology | 15.27% | 0.00% | 44.33% | 42.94% |
Financial Services | 15.07% | 0.00% | 38.38% | 53.17% |
Consumer Defense | 4.90% | 0.00% | 13.76% | 24.93% |
Real Estate | 4.70% | 0.00% | 22.75% | 71.18% |
Basic Materials | 3.55% | 0.00% | 13.96% | 74.50% |
Communication Services | 1.11% | 0.00% | 20.10% | 78.53% |
Energy | 1.09% | 0.00% | 19.57% | 80.55% |
Utilities | 0.96% | 0.00% | 22.75% | 76.95% |
Stock Geographic Breakdown
Weighting | Return Low | Return High | QSSRX % Rank | |
---|---|---|---|---|
US | 98.08% | 3.66% | 100.87% | 31.71% |
Non US | 1.11% | 0.00% | 32.26% | 58.00% |
QSSRX - Expenses
Operational Fees
QSSRX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 1.23% | 0.01% | 33.63% | 43.62% |
Management Fee | 0.50% | 0.00% | 2.18% | 23.14% |
12b-1 Fee | N/A | 0.00% | 1.00% | 18.34% |
Administrative Fee | N/A | 0.01% | 0.47% | N/A |
Sales Fees
QSSRX 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
QSSRX 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.
QSSRX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | 55.00% | 0.00% | 454.00% | 55.54% |
QSSRX - Distributions
Dividend Yield Analysis
QSSRX | Category Low | Category High | QSSRX % Rank | |
---|---|---|---|---|
Dividend Yield | 0.57% | 0.00% | 6.48% | 84.05% |
Dividend Distribution Analysis
QSSRX | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | Annually | Annually | Annually | Annually |
Net Income Ratio Analysis
QSSRX | Category Low | Category High | QSSRX % Rank | |
---|---|---|---|---|
Net Income Ratio | 0.67% | -4.17% | 2.63% | 29.84% |
Capital Gain Distribution Analysis
QSSRX | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency | Annually | Annually | Semi-Annually | Annually |
Distributions History
Date | Amount | Type |
---|---|---|
Dec 20, 2018 | $0.092 | |
Dec 21, 2017 | $0.082 | |
Dec 21, 2016 | $0.116 | |
Dec 22, 2015 | $0.058 |
QSSRX - Fund Manager Analysis
Managers
Andrea Frazzini
Start Date
Tenure
Tenure Rank
Feb 11, 2015
6.05
6.1%
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.
Ronen Israel
Start Date
Tenure
Tenure Rank
Feb 11, 2015
6.05
6.1%
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.
Clifford Asness
Start Date
Tenure
Tenure Rank
Feb 11, 2015
6.05
6.1%
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.
Lars Nielsen
Start Date
Tenure
Tenure Rank
Jan 01, 2020
1.16
1.2%
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.
Michele Aghassi
Start Date
Tenure
Tenure Rank
Jan 01, 2020
1.16
1.2%
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.
Tenure Analysis
Category Low | Category High | Category Average | Category Mode |
---|---|---|---|
0.01 | 48.36 | 6.47 | 1.33 |