Data as of 6/30/2010
| |
AQR Small Cap
Momentum Fund |
Russell 2000
Index |
Fund - Index |
| Consumer Discretionary |
20.7% |
13.8% |
6.9% |
| Consumer Staples |
1.7% |
3.3% |
-1.6% |
| Energy |
6.7% |
5.3% |
1.3% |
| Financials |
20.2% |
21.5% |
-1.3% |
| Health Care |
10.5% |
13.8% |
-3.3% |
| Industrials |
13.8% |
15.3% |
-1.5% |
| Information Technology |
19.0% |
17.9% |
1.0% |
| Materials |
6.5% |
4.8% |
1.7% |
| Telecom Services |
0.8% |
1.0% |
-0.2% |
| Utilities |
0.0% |
3.2% |
-3.2% |
| Total Equity Investments |
100.0% |
100.0% |
0.0% |
|
|
| |
% of Net Assets |
| United Stationers Inc. |
0.6% |
| Webster Financial Corp. |
0.6% |
| CARBO Ceramics Inc. |
0.5% |
| PAREXEL International Corp. |
0.5% |
| Thor Industries Inc. |
0.5% |
| Ultia Salon Cosmetics & Fragrance Inc. |
0.5% |
| Plantronics Inc. |
0.5% |
| SKETCHERS USA Inc. |
0.5% |
| Sapient Corp. |
0.5% |
| Olin Corp. |
0.5% |
| Top Ten Total (%) |
4.9% |
|
| |
Class L Shares |
| Ticker |
ASMOX |
| CUSIP |
00203H800 |
| Minimum Investment |
$5,000 |
| Gross Expense Ratio* |
0.85% |
| Net Expense Ratio** |
0.65% |
| Expense Cap*** |
0.65% |
|
|
| |
AQR Small Cap
Momentum Fund |
Russell 2000
Index |
| # of Stocks |
557 |
2,006 |
| Average Market Cap ($MM) |
755 |
922 |
| Median Market Cap ($MM) |
410 |
405 |
| P/E (trailing 12 months) |
16.1 |
16.1 |
| P/B |
1.7 |
1.6 |
| Annualized Turnover Rate |
N/A |
N/A |
| EPS Growth (5 Year) |
15.8 |
15.6 |
| Cash % |
1.0% |
N/A |
| Total Net Assets ($MM) |
6 |
N/A |
|
† All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities.
* The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.
** The Net Expense Ratio per the Fund’s latest Prospectus after expense reductions or fee waivers.
*** 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.
Momentum Funds. Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.
Small Cap Momentum Fund. Funds that emphasize investments in smaller companies generally will experience greater price volatility.
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.