Period Ending 3/31/2014
Month YTD 1 Yr 3 Yr 5 Yr Since Inception Inception Date
Risk Parity Fund 0.09% 2.88% -1.63% 6.47% 7.49% 09/29/10
60/40 Portfolio* 0.45% 1.88% 12.75% 10.60% 11.90% 09/29/10


Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns show are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.

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. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.

The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:
Diversified Arbitrage Fund, Managed Futures Strategy Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund and Multi-Strategy Alternative Fund,: April 30, 2014
Momentum Funds, Defensive Equity Funds, International Equity Fund and Global Equity Fund: January 28, 2015
Core Equity Fund, Long-Short Equity Fund, Managed Futures Strategy HV Fund and Style Premia Fund: April 30, 2015
Global Macro Fund: April 30, 2016

60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Barclays Capital Aggregate Bond Index is a broad-based index used to represent investment grade bonds being traded in the United States.

Risk Parity Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. 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. 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. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

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.