Data as of 6/30/2010
| |
% of Risk Allocation |
| Commodities |
27.5% |
| Currencies |
22.0% |
| Equities |
16.6% |
| Fixed Income |
33.9% |
|
|
| |
|
| # of long holdings |
62 |
| # of short holdings |
18 |
| # of currency holdings |
40 |
| Total Fund Assets ($Million) |
195 |
|
| % of Risk Allocation |
| Commodities |
| Sugar No. 11 Future |
(Short) |
5.5% |
| Corn Future |
(Short) |
3.9% |
| Wheat Future |
(Short) |
2.7% |
| Currencies |
| Long GBP vs Short EUR |
(Cross-Currency) |
4.7% |
| Long JPY vs Short USD |
(Cross-Currency) |
4.0% |
| Long USD vs Short EUR |
(Cross-Currency) |
3.8% |
|
|
| % of Risk Allocation |
| Equities |
| KOSPI 200 Index Future |
(Long) |
1.2% |
| Japan Topix Index Future |
(Short) |
1.1% |
| CAC40 Index Future |
(Long) |
0.9% |
| Fixed Income |
| Australia 3 Yr Bond Future |
(Long) |
1.9% |
| U.S. 2 Yr Treasury Note Future |
(Long) |
1.8% |
| Australia 10 Yr Bond Future |
(Long) |
1.8% |
|
| |
Class N Shares
|
Class I Shares
|
| Ticker |
AQMNX |
AQMIX |
| CUSIP |
00203H842 |
00203H859 |
| Minimum Investment |
$5,000 |
$1 Million |
| 12b-1 Fee |
0.25% |
None |
| Net Expense Ratio* |
1.50% |
1.25% |
| Net Expense Cap* |
1.50% |
1.25% |
|
†
Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities.
* As reported in the most recent Prospectus. The Adviser has contractually agreed until at least April 30, 2011 to waive its management fee and/or reimburse expenses of the Fund to the extent necessary to maintain the total annual fund operating expenses at the stated levels, exclusive of certain expenses such as acquired fund fees and extraordinary expenses. See the Prospectus for additional details.
Managed Futures Fund: The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses.
The Fund is new and has less than a year of operating history
All AQR Funds. An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.