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AQR Diversified Arbitrage Fund
mutual fund
ADAIX
Payout Change
Pending
Price as of:
$12.19
+0.02
+0.16%
primary theme
N/A
share class
ADAIX (Mutual Fund)
AQR Diversified Arbitrage Fund
Payout Change
Pending
Price as of:
$12.19
+0.02
+0.16%
primary theme
N/A
share class
ADAIX (Mutual Fund)
AQR Diversified Arbitrage Fund
Payout Change
Pending
Price as of:
$12.19
+0.02
+0.16%
primary theme
N/A
share class
Name
As of 11/22/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
Vitals
YTD Return
2.5%
1 yr return
4.3%
3 Yr Avg Return
0.8%
5 Yr Avg Return
6.9%
Net Assets
$2 B
Holdings in Top 10
48.7%
52 WEEK LOW AND HIGH
$12.2
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 1.53%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover N/A
Redemption Fee N/A
Min Investment
Standard (Taxable)
$5,000,000
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 11/22/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
ADAIX - Profile
Distributions
- YTD Total Return 2.5%
- 3 Yr Annualized Total Return 0.8%
- 5 Yr Annualized Total Return 6.9%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -0.98%
- Dividend Yield 2.7%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameAQR Diversified Arbitrage Fund
-
Fund Family NameAQR Funds
-
Inception DateJan 15, 2009
-
Shares OutstandingN/A
-
Share ClassI
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerTodd Pulvino
Fund Description
The Fund seeks to outperform, after expenses, the ICE BofA US 3-Month Treasury Bill Index while seeking to control its tracking risk relative to this benchmark. The ICE BofA US 3-Month Treasury Bill Index is designed to measure the performance of a high-quality short-term cash-equivalent investment. An investment in the Fund is more volatile than an investment in Treasury Bills, and is not backed by the full faith and credit of the U.S. Government.The Fund uses a number of arbitrage investment strategies employed by hedge funds and proprietary trading desks of investment banks, including merger arbitrage, convertible arbitrage, and other kinds of arbitrage strategies and corporate event strategies described more fully below. In order to pursue these investment strategies, the Fund invests in a diversified portfolio of instruments, including equities, convertible securities, debt securities, loans (including unfunded loan commitments), rights, warrants, options, swaps (including equity swaps, convertible bond swaps, convertible preferred swaps, credit default swaps, credit default index swaps, credit derivative swaps, and swaps on warrants), futures contracts, forwards or other types of derivative instruments. The securities in which the Fund invests may be restricted and/or Rule 144A securities. The Sub-Adviser tactically allocates the Fund’s assets across arbitrage and alternative investment strategies with positive anticipated returns based on market conditions. The Fund may invest in or have exposure to companies of any size.The Sub-Adviser will employ hedging strategies with the intent of (i) reducing the risk associated with each of the arbitrage and corporate event strategies; (ii) keeping the overall volatility of the Fund’s net asset value low; and (iii) maintaining a low correlation with the overall equity market.The Fund will also engage extensively in short sales of securities. When the Fund sells a security short, it borrows the security from a third party and sells it at the then current market price. The Fund is then obligated to buy the security on a later date so that it can return the security to the lender. For arbitrage strategies, the Fund will generally buy securities and simultaneously sell securities short in amounts that are intended to result in an approximately neutral economic exposure to overall market movements.The Fund makes use of derivative instruments, which may be used for hedging purposes, as a substitute for investing in conventional securities and for investment purposes. The Fund will also use derivatives to increase its economic exposure, either long or short, to a particular security, currency or index. Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The Fund’s use of swaps, futures contracts, forward contracts and certain other derivative instruments may have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset underlying a derivative instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund did not use derivative instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset through a derivative instrument providing leveraged exposure to the asset and that derivative instrument increases in value, the gain to the Fund will be magnified. If that investment decreases in value, however, the loss to the Fund will also be magnified. A decline in the Fund’s assets due to losses magnified by the derivative instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations or to meet redemption requests when it may not be advantageous to do so. The Fund also may use derivative instruments to gain exposure to any instrument in which the Fund may invest directly. There is no assurance that the Fund’s use of derivative instruments providing enhanced exposure will enable the Fund to achieve its investment objective.The Fund invests in debt securities, which may be of any credit rating, maturity or duration, and which may include high-yield or “junk” bonds. A portion of the Fund's assets may be held in cash or cash equivalent investments, with one year or less to maturity, including, but not limited to, money market instruments and U.S. Government securities (collectively, “Cash Equivalents”). The cash or Cash Equivalent holdings earn income for the Fund and can be held as unencumbered assets of the Fund or serve as collateral for the positions that the Fund takes on. In response to adverse market, economic or other conditions, such as the availability of attractive arbitrage and corporate event opportunities (or lack thereof), the Fund may temporarily invest a substantial portion of its assets in such cash or cash equivalent securities and during such periods the Fund may not achieve its investment objective. The Fund will invest in issuers in foreign countries, which may include emerging market countries.Examples of Arbitrage and Corporate Event Strategies:Merger Arbitrage: When engaging in merger arbitrage, the Sub-Adviser buys shares of the “target” company in a proposed merger or other reorganization between two companies. If the consideration in the transaction consists of stock of the acquirer, the Sub-Adviser will typically hedge the exposure to the acquirer by shorting the stock of the acquiring company.Convertible Arbitrage: When employing a convertible arbitrage strategy, the Sub-Adviser invests in convertible securities that are trading at discounts to their fundamental values and attempts to mitigate the various risks associated with investing in such convertible securities. In some cases, convertible securities trade at premiums relative to their fundamental values; in such cases the Fund would short sell the respective convertible security and employ various hedging strategies to mitigate the various risks associated with being short the convertible security.Corporate Events: The Sub-Adviser also employs other arbitrage and corporate event strategies when market opportunities arise. Examples of such investments can include distressed investments, IPOs (Initial Public Offerings), SEOs (Seasoned Equity Offerings), “price-pressure” trades, “dual-class” arbitrage and “closed-end fund” arbitrage among other strategies. Additionally, as a part of its corporate events strategy, the Fund will invest in Special Purpose Acquisition Companies (“SPACs”). SPACs, sometimes referred to as “blank check” companies, are publicly traded companies or similar special purpose entities that pool funds to seek potential acquisition opportunities. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. Government securities, money market fund securities and cash. The Fund seeks to capture a liquidity premium when these securities (initially a unit comprised of a share and a right or a warrant) are selling at a discount to their fundamental value.
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ADAIX - Performance
Return Ranking - Trailing
| Period | ADAIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 2.5% | -11.6% | 15.8% | 27.00% |
| 1 Yr | 4.3% | -33.0% | 41.7% | 1.94% |
| 3 Yr | 0.8%* | -10.5% | 13.4% | 2.04% |
| 5 Yr | 6.9%* | -4.8% | 11.1% | 2.41% |
| 10 Yr | 5.1%* | -4.6% | 7.6% | 14.71% |
* Annualized
Return Ranking - Calendar
| Period | ADAIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 1.7% | -31.7% | 23.2% | 1.02% |
| 2022 | -3.4% | -20.7% | 10.7% | 6.19% |
| 2021 | 5.6% | -12.4% | 14.7% | 75.56% |
| 2020 | 23.2% | -13.2% | 12.9% | 81.01% |
| 2019 | 6.3% | -11.7% | 7.9% | 70.00% |
Total Return Ranking - Trailing
| Period | ADAIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 2.5% | -11.7% | 15.8% | 26.00% |
| 1 Yr | 4.3% | -33.0% | 41.7% | 1.94% |
| 3 Yr | 0.8%* | -10.5% | 13.4% | 2.04% |
| 5 Yr | 6.9%* | -4.8% | 11.1% | 2.41% |
| 10 Yr | 5.1%* | -4.6% | 7.6% | 14.71% |
* Annualized
Total Return Ranking - Calendar
| Period | ADAIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 4.5% | -31.7% | 23.2% | 1.02% |
| 2022 | -3.3% | -20.7% | 10.7% | 6.19% |
| 2021 | 6.3% | -12.4% | 14.7% | 80.00% |
| 2020 | 25.2% | -12.7% | 12.9% | 18.99% |
| 2019 | 8.5% | -11.5% | 13.2% | 4.29% |
NAV & Total Return History
ADAIX - Holdings
Concentration Analysis
| ADAIX | Category Low | Category High | ADAIX % Rank | |
|---|---|---|---|---|
| Net Assets | 2 B | 105 K | 12.6 B | 17.31% |
| Number of Holdings | 893 | 5 | 2526 | 17.31% |
| Net Assets in Top 10 | 927 M | -619 M | 6.53 B | 20.19% |
| Weighting of Top 10 | 48.67% | 7.6% | 96.1% | 29.27% |
Top 10 Holdings
- Limited Purpose Cash Investment Fund 15.74%
- Royal Caribbean Cruises Ltd. 8.04%
- U.S. Treasury Bills 5.63%
- U.S. Treasury Bills 5.58%
- Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 2.65%
- Carnival Corp. 2.49%
- U.S. Treasury Bills 2.47%
- U.S. Treasury Bills 2.47%
- U.S. Treasury Bills 1.81%
- Southwestern Energy Co. 1.80%
Asset Allocation
| Weighting | Return Low | Return High | ADAIX % Rank | |
|---|---|---|---|---|
| Bonds | 57.03% | -1.04% | 63.30% | 32.69% |
| Cash | 53.77% | -225.56% | 102.75% | 95.19% |
| Convertible Bonds | 15.10% | 0.00% | 95.47% | 14.42% |
| Preferred Stocks | 0.00% | 0.00% | 5.67% | 5.77% |
| Other | -1.16% | -11.90% | 43.69% | 15.38% |
| Stocks | -16.83% | -57.09% | 325.56% | 44.23% |
Bond Sector Breakdown
| Weighting | Return Low | Return High | ADAIX % Rank | |
|---|---|---|---|---|
| Cash & Equivalents | 38.23% | 0.00% | 100.00% | 87.50% |
| Government | 28.63% | 0.00% | 73.33% | 26.92% |
| Corporate | 27.67% | 0.00% | 100.00% | 12.50% |
| Municipal | 0.52% | 0.00% | 3.82% | 5.77% |
| Securitized | 0.05% | 0.00% | 27.70% | 11.54% |
| Derivative | -1.16% | 0.00% | 30.95% | 10.58% |
Bond Geographic Breakdown
| Weighting | Return Low | Return High | ADAIX % Rank | |
|---|---|---|---|---|
| US | 57.03% | -1.04% | 80.93% | 29.81% |
| Non US | 0.00% | -64.71% | 9.68% | 98.08% |
ADAIX - Expenses
Operational Fees
| ADAIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 1.53% | 0.73% | 9.52% | 56.31% |
| Management Fee | 1.00% | 0.13% | 1.65% | 39.42% |
| 12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
| Administrative Fee | N/A | 0.06% | 0.40% | N/A |
Sales Fees
| ADAIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Front Load | N/A | 2.75% | 5.75% | N/A |
| Deferred Load | N/A | 1.00% | 5.00% | N/A |
Trading Fees
| ADAIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Max Redemption Fee | N/A | 1.00% | 2.00% | N/A |
Related Fees
Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.
| ADAIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | N/A | 30.00% | 483.00% | 93.26% |
ADAIX - Distributions
Dividend Yield Analysis
| ADAIX | Category Low | Category High | ADAIX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 2.67% | 0.00% | 0.75% | 77.88% |
Dividend Distribution Analysis
| ADAIX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annual | Annually | Quarterly | Annually |
Net Income Ratio Analysis
| ADAIX | Category Low | Category High | ADAIX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -0.98% | -2.49% | 4.20% | 61.17% |
Capital Gain Distribution Analysis
| ADAIX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 18, 2023 | $0.326 | OrdinaryDividend |
| Dec 19, 2022 | $0.011 | OrdinaryDividend |
| Dec 23, 2021 | $0.078 | OrdinaryDividend |
| Dec 22, 2020 | $0.184 | OrdinaryDividend |
| Dec 23, 2019 | $0.196 | OrdinaryDividend |
| Dec 19, 2018 | $0.571 | OrdinaryDividend |
| Dec 20, 2017 | $0.654 | OrdinaryDividend |
| Dec 20, 2016 | $0.663 | OrdinaryDividend |
| Dec 21, 2015 | $0.454 | OrdinaryDividend |
| Dec 19, 2014 | $0.197 | OrdinaryDividend |
| Dec 20, 2013 | $0.058 | CapitalGainLongTerm |
| Dec 20, 2013 | $0.275 | OrdinaryDividend |
| Dec 14, 2012 | $0.053 | CapitalGainShortTerm |
| Dec 14, 2012 | $0.128 | OrdinaryDividend |
| Dec 16, 2011 | $0.278 | CapitalGainShortTerm |
| Dec 16, 2011 | $0.093 | OrdinaryDividend |
| Dec 17, 2010 | $0.132 | CapitalGainShortTerm |
| Dec 17, 2010 | $0.036 | OrdinaryDividend |
| Dec 18, 2009 | $0.034 | OrdinaryDividend |
| Dec 18, 2009 | $0.089 | CapitalGainShortTerm |
ADAIX - Fund Manager Analysis
Managers
Todd Pulvino
Start Date
Tenure
Tenure Rank
Jan 15, 2009
13.38
13.4%
Todd C. Pulvino, Ph.D., A.M., M.S., is a Principal of the Sub-Adviser. Dr. Pulvino cofounded the Sub-Adviser in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. He earned a B.Sc. in mechanical engineering from University of Wisconsin-Madison, an M.S. in mechanical engineering from the California Institute of Technology, and an A.M. and Ph.D. in business economics from Harvard University.
Mark Mitchell
Start Date
Tenure
Tenure Rank
Jan 15, 2009
13.38
13.4%
Mark L. Mitchell, Ph.D., is a Principal of the Sub-Adviser. Dr. Mitchell cofounded the Sub-Adviser in 2001 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. Dr. Mitchell earned a B.B.A. in economics from the University of Louisiana at Monroe and a Ph.D. in applied economics from Clemson University.
Robert Bryant
Start Date
Tenure
Tenure Rank
May 01, 2019
3.08
3.1%
Robert F. Bryant is a Principal of the Sub-Adviser. Mr. Bryant joined the Sub-Adviser in 2002 and oversees research and trading related to merger and convertible arbitrage and other strategies related to corporate events. He earned a B.S. in computer science and electrical engineering from the Massachusetts Institute of Technology.
Ashwin Thapar
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
Ashwin Thapar is a Principal and senior member of the Research and Portfolio Management team at AQR Capital Management. In his role, he co-heads research and portfolio management efforts on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy products. Ashwin has published research on topics including currency hedging, deep value and alternative risk premia investing and is a frequent conference presenter on these topics. Ashwin earned a B.Sc. in finance and a B.A. in mathematics from the University of Pennsylvania, graduating summa cum laude in both fields.
John Eckert
Start Date
Tenure
Tenure Rank
May 01, 2022
0.08
0.1%
John Eckert is a Managing Director of AQR Arbitrage, LLC. Mr. Eckert joined the Sub-Adviser in 2010 and heads the convertible arbitrage team and is responsible for managing all aspects of the convertible arbitrage strategy including suggesting tactical allocations in multi-strategy funds. In addition, Mr. Eckert researches trade ideas for the event-driven credit portfolios. He earned a B.S. in industrial engineering from Northwestern University.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.08 | 30.59 | 6.3 | 9.42 |
