Investment Objective
Seeks to generate positive long-term absolute returns.
General Nature of Fund
Invests in a portfolio of futures contracts and futures-related instruments, utilizing more than 100 instruments across four major asset classes: commodities, currencies, fixed income and equities. The fund can take long or short positions in any of these instruments, and thus seeks to benefit both if the price of the underlying instrument rises or falls.
Fund Benchmark
Merrill Lynch 3 Month Treasury Bill Index
Investment Approach
The Fund’s portfolio managers use proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments. Once a trend is determined, the Fund will take either a long or short position in the given instrument. The size of the position will be related to the forecasted risk of the instrument and the probability of the trend continuing.
When taking a “long” position, the futures contract provides a positive return if the price of the underlying asset price increases, and a negative return if the asset price decreases. When taking a “short” position, the futures contract provides a positive return when the price of the underlying asset price decreases, and a negative return if the asset price increases.
By establishing “long” positions in assets that the portfolio managers believe will rise in price, and “short” positions for assets that are expected to decline in price, the Fund seeks to benefit from both up and down price movements.
*Futures-related instruments include equity index futures, currency forwards, commodity futures, swaps on commodity futures, fixed income futures and bond futures, as well as exchange-traded funds or exchange traded notes that are linked to these contracts.
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.