After AQR Risk Parity I'm guessing this fund will not be of interest (although, to be fair, risk parity has not done well recently - including Bridgewater's famed "All Weather" fund), but here it is:
WHAT: (AQR Long/Short - although AQR Global Long/Short would probably have been a better name in terms of marketing, given that it can go anywhere and there are very few global L/S funds.)
HOW: The Fund seeks to provide investors with three different sources of return: 1) the potential gains from its long-short equity positions, 2) overall exposure to equity markets, and 3) the tactical variation of its net exposure to equity markets. The Fund seeks to provide higher risk-adjusted returns with lower volatility compared to global equity markets.
Under normal market conditions, the Fund pursues its investment objective by investing at least 80% of its net assets (including borrowings for investment purposes) in equity instruments and equity related instruments. Equity instruments include common stock, preferred stock, and depositary receipts (“Equity Instruments”). Equity related instruments are investments that provide exposure to the performance of equity instruments, including equity swaps (both single-name and index swaps), equity index futures, equity options and exchange-traded-funds and similar pooled investment vehicles (collectively, “Equity Derivative Instruments” and together with Equity Instruments, “Instruments”)).
In managing the Fund, the Adviser takes long positions in those Instruments that, based on proprietary quantitative models, the Adviser forecasts to be undervalued and likely to increase in price, and takes short positions in those Instruments that the Adviser forecasts to be overvalued and likely to decrease in price.
The Fund may invest in or have exposure to companies of any size. The Fund has no geographic limits on where it may invest. The Fund will generally invest in instruments of companies located in global developed markets, including the United States. As of the date of this Prospectus, the Adviser considers global developed markets to be those countries included in the MSCI World Index. Although the Fund does not limit its investments to any one country, the Fund may invest in any one country without limit.
The Adviser uses a set of value, momentum, quality and other economic indicators to generate an investment portfolio based on the Adviser’s global security selection and asset allocation models.
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Value indicators identify investments that appear cheap based on fundamental measures, often as a result of distress or lack of favor. Examples of value indicators include using price-to-earnings and price-to-book ratios for choosing individual equities.
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Momentum indicators identify investments with strong short-term performance. Examples of momentum indicators include simple price momentum for choosing individual equities.
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Quality indicators identify stable companies in good business health, including those with strong profitability and stable earnings.
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In addition to these three main indicators, the Adviser may use a number of additional quantitative indicators based on the Adviser’s proprietary research. The Adviser may add or modify the economic indicators employed in selecting portfolio holdings from time to time.
Applying these indicators, the Adviser may take long or short positions in industries, sectors and companies that it believes are attractive on either a relative basis or on an absolute basis. In the aggregate the Fund expects to have net long exposure to the equity markets, which the Adviser may adjust over time. When the Adviser determines that market conditions are unfavorable, the Fund may reduce its long market exposure. Similarly, when the Adviser determines that market conditions are favorable, the Fund may increase its long market exposure.
The Fund is not designed to be market-neutral. The Adviser will use a tactical allocation overlay to manage the Fund’s beta exposure to broad global markets. The Adviser, on average, intends to target a portfolio beta of 0.5. The Adviser expects that the Fund’s target beta will typically range from 0.3 to 0.7.
WHO:Investment Manager
The Fund’s investment manager is AQR Capital Management, LLC.
Portfolio Managers
Name
Portfolio Manager
of the Fund Since
Title
Jacques A. Friedman, M.S.
Since Inception Principal of the Adviser
Lars Nielsen, M.Sc.
Since Inception Principal of the Adviser
Andrea Frazzini, Ph.D., M.S.
Since Inception Vice President of the Adviser
Comments
At some point of time, manager blabbing needs to start translating to results. Meanwhile, I will continue to use manager investment to decide whether to exercise patience with these holdings. As I have also mentioned before, some funds you simply have to give more rope to for things to play out.
I've kept my investments mostly in the traditional realm.
Now if you are saying I'm not smart, ask me again and I'll tell you I'm 2
I see no reason to be an early buyer of this fund, and prefer to place the fund on my watch list. QLEIX/QLENX have net expense ratios of 1.30% and 1.55%, respectively, as detailed HERE. According to a test trade I just made in my Fidelity retirement account, these funds have no minimum investment but have a TF. Actual trading results may differ.
Kevin
BWG
MFLDX is still my pick in the long-short space, but no vehicle can be expected to weather these storms perfectly.
For fun, QLENX goes on my watchlist.
Thank you, exactly. It's nice to see you posting on the board again - please continue to do so more often. I really enjoy reading your insights.