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AQR Long-Short Equity Fund
mutual fund
QLERX
Payout Change
Pending
Price as of:
$17.23
-0.03
-0.17%
primary theme
Long-Short Equity
share class
QLERX (Mutual Fund)
AQR Long-Short Equity Fund
Payout Change
Pending
Price as of:
$17.23
-0.03
-0.17%
primary theme
Long-Short Equity
share class
QLERX (Mutual Fund)
AQR Long-Short Equity Fund
Payout Change
Pending
Price as of:
$17.23
-0.03
-0.17%
primary theme
Long-Short Equity
share class
Name
As of 12/10/2024Price
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
29.5%
1 yr return
27.2%
3 Yr Avg Return
25.3%
5 Yr Avg Return
16.6%
Net Assets
$2.01 B
Holdings in Top 10
60.9%
52 WEEK LOW AND HIGH
$17.3
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 4.85%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 0.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$50,000,000
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 12/10/2024Price
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
QLERX - Profile
Distributions
- YTD Total Return 29.5%
- 3 Yr Annualized Total Return 25.3%
- 5 Yr Annualized Total Return 16.6%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -1.16%
- Dividend Yield 15.9%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameAQR Long-Short Equity Fund
-
Fund Family NameAQR Funds
-
Inception DateSep 02, 2014
-
Shares OutstandingN/A
-
Share ClassR6
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerAndrea Frazzini
Fund Description
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 and/or derivative instruments. Equity instruments include common stock, preferred stock, depositary receipts and shares or interests in real estate investment trusts (“REITs”) or REIT-like entities (“Equity Instruments”). Equity related and/or derivative instruments are investments that provide exposure to the performance of equity instruments, including equity swaps (both single-name and index swaps), equity index futures 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. The Fund does not limit its investments to any one country and may invest in any one country without limit.The Adviser employs a model which aggregates many measures, or signals, that are used to determine a stock’s relative attractiveness, utilizing a wide variety of traditional and non-traditional, public and proprietary data sources. The model uses several hundred signals over multiple time horizons to generate forecasts of individual stock price movements, changes in company fundamentals, and stock price risk. The Adviser deploys insights from academic research as well as proprietary signals, which the Adviser’s research shows are not widely known and/or are difficult to exploit using commonly deployed investment approaches. Signals are selected based on their economic intuition, historical efficacy in forecasting returns, statistical and economic significance, and effectiveness across equity universes and market environments. Signals can be further grouped into a set of value, momentum, defensive and other economic indicators to generate an investment portfolio based on the Adviser’s global security selection and asset allocation models.•Value indicators identify investments that appear cheap based on fundamental measures. Examples of value indicators include using price-to-earnings and price-to-book ratios for choosing individual equities.•Momentum indicators identify investments showing signs of improvement, whether based on prices or fundamentals. Examples of momentum indicators include simple price momentum for choosing individual equities based on strong recent performance.•Defensive indicators identify stable companies in good business health, including those with strong profitability and stable earnings, sound accounting practices, and lower sensitivity to market movements.•Sentiment indicators identify companies favored by high-conviction investors or companies whose management is acting in shareholder-friendly ways.•In addition to these indicators, the Adviser may use a number of additional indicators based on the Adviser’sproprietary research. The Adviser may add or modify the economic indicators employed in selecting portfolio holdings from time to time.Applying these indicators, the Adviser takes long or short positions in sectors, industries and companies that it believes are attractive or unattractive. 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 through the use of Equity Derivative Instruments and foreign currency forwards. 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.Beyond the volatility associated with the Fund’s long-term market beta target, the Adviser, on average, will target an additional (i.e., active) annualized average, long-term volatility level for the Fund of 4-9%. While this active annualized volatility level is expected to be targeted over the long run, the Adviser may, on occasion tactically target a level of volatility outside of this range.Given these two sources of volatility (i.e., the market volatility associated with the Fund’s market beta target and the Fund’s additional active security selection volatility target) and given there is no precise way to predict the market volatility over any particular period, the total volatility of the Fund is expected to be higher, potentially significantly higher, than the 4-9% active volatility target. Actual or realized volatility experienced by the Fund can and will differ from the forecasted or target volatility described above.The Fund may, but is not required to, hedge exposure to foreign currencies using foreign currency forwards or futures.The Fund, when taking a long equity position, will purchase a security that will benefit from an increase in the price of that security. When taking a short equity position, the Fund borrows the security from a third party and sells it at the then current market price. A short equity position will benefit from a decrease in price of the security and will lose value if the price of the security increases. Similarly, the Fund also takes long and short positions in Equity Derivative Instruments. A long position in an Equity Derivative Instrument will benefit from an increase in the price of the underlying instrument. A short position in an Equity Derivative Instrument will benefit from a decrease in the price of the underlying instrument and will lose value if the price of the underlying instrument increases. Simultaneously engaging in long investing and short selling is designed to reduce the net exposure of the overall portfolio to general market movements.The Fund uses Equity Derivative Instruments and foreign currency forwards as a substitute for investing in conventional securities and for investment purposes to increase its economic exposure to a particular security, index or currency in a cost-effective manner. At times, the Fund may gain all equity or currency exposure through the use of Equity Derivative Instruments and currency derivative instruments, and may invest in such instruments without limitation. The Fund’s use of Equity Derivative Instruments and currency derivative instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset underlying an Equity Derivative Instrument or currency 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 Equity Derivative Instruments and currency derivative instruments that have a leveraging effect. For example, if the Adviserseeks to gain enhanced exposure to a specific asset through an Equity Derivative Instrument providing leveraged exposure to the asset and that Equity 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 be magnified. A decline in the Fund’s assets due to losses magnified by the Equity 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. There is no assurance that the Fund’s use of Equity Derivative Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.The Adviser will consider the potential federal income tax impact on the shareholders' after-tax investment return of certain trading decisions, including but not limited to, selling or closing out of Instruments to realize losses, or refraining from selling or closing out of Instruments to avoid realizing gains, when determined by the Adviser to be appropriate. The Adviser will also take into consideration various tax rules pertaining to holding periods, wash sales and tax straddles.A significant 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.When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the active stock selection component of the Fund is expected to have annual turnover of approximately 350% to 750%, although actual portfolio turnover may be higher or lower and will be affected by market conditions. This estimated annual portfolio turnover rate is based on the expected regular turnover resulting from the Fund’s implementation of its investment strategy, and does not take into account turnover that may occur as a result of purchases and redemptions into and out of the Fund’s portfolio.
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QLERX - Performance
Return Ranking - Trailing
| Period | QLERX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 29.5% | -11.9% | 43.9% | 6.12% |
| 1 Yr | 27.2% | -11.4% | 49.0% | 10.20% |
| 3 Yr | 25.3%* | -8.1% | 25.4% | 0.76% |
| 5 Yr | 16.6%* | -2.6% | 23.5% | 4.17% |
| 10 Yr | 10.0%* | -4.0% | 11.2% | 2.94% |
* Annualized
Return Ranking - Calendar
| Period | QLERX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 3.1% | -17.3% | 43.8% | 63.95% |
| 2022 | 4.2% | -54.0% | 17.4% | 9.09% |
| 2021 | 31.1% | -40.0% | 54.1% | 5.56% |
| 2020 | -15.1% | -47.6% | 88.4% | 88.33% |
| 2019 | 1.3% | -20.3% | 62.6% | 89.38% |
Total Return Ranking - Trailing
| Period | QLERX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 29.5% | -11.9% | 43.9% | 6.12% |
| 1 Yr | 27.2% | -11.4% | 49.0% | 10.20% |
| 3 Yr | 25.3%* | -8.1% | 25.4% | 0.76% |
| 5 Yr | 16.6%* | -2.6% | 23.5% | 4.17% |
| 10 Yr | 10.0%* | -4.0% | 11.2% | 2.94% |
* Annualized
Total Return Ranking - Calendar
| Period | QLERX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 24.4% | -14.5% | 43.8% | 7.48% |
| 2022 | 19.2% | -54.0% | 50.3% | 3.03% |
| 2021 | 31.1% | -40.0% | 61.6% | 11.90% |
| 2020 | -13.8% | -29.9% | 91.0% | 95.00% |
| 2019 | 1.3% | -17.9% | 79.4% | 93.81% |
NAV & Total Return History
QLERX - Holdings
Concentration Analysis
| QLERX | Category Low | Category High | QLERX % Rank | |
|---|---|---|---|---|
| Net Assets | 2.01 B | 1.08 M | 6.67 B | 2.72% |
| Number of Holdings | 2062 | 3 | 2730 | 2.72% |
| Net Assets in Top 10 | 1.2 B | -4.86 M | 2.41 B | 4.76% |
| Weighting of Top 10 | 60.86% | -9.9% | 110.8% | 31.29% |
Top 10 Holdings
- Limited Purpose Cash Investment Fund 21.48%
- U.S. Treasury Bills 7.38%
- U.S. Treasury Bills 6.08%
- U.S. Treasury Bills 4.51%
- U.S. Treasury Bills 4.49%
- U.S. Treasury Bills 4.02%
- U.S. Treasury Bills 3.54%
- U.S. Treasury Bills 3.52%
- U.S. Treasury Bills 2.99%
- U.S. Treasury Bills 2.86%
Asset Allocation
| Weighting | Return Low | Return High | QLERX % Rank | |
|---|---|---|---|---|
| Cash | 91.50% | 0.00% | 109.95% | 5.44% |
| Stocks | 8.51% | -0.13% | 113.26% | 86.39% |
| Other | 1.12% | -57.63% | 99.50% | 17.01% |
| Convertible Bonds | 0.00% | -0.02% | 4.48% | 22.30% |
| Bonds | 0.00% | 0.00% | 108.68% | 38.78% |
| Preferred Stocks | -1.13% | -1.13% | 6.36% | 98.64% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | QLERX % Rank | |
|---|---|---|---|---|
| Utilities | 0.00% | 0.00% | 21.71% | 4.26% |
| Technology | 0.00% | 0.00% | 43.24% | 28.72% |
| Real Estate | 0.00% | 0.00% | 10.93% | 26.60% |
| Industrials | 0.00% | 0.00% | 31.93% | 5.32% |
| Healthcare | 0.00% | 0.00% | 100.00% | 24.47% |
| Financial Services | 0.00% | 0.00% | 83.83% | 40.43% |
| Energy | 0.00% | 0.00% | 32.57% | 3.19% |
| Communication Services | 0.00% | 0.00% | 32.32% | 24.47% |
| Consumer Defense | 0.00% | 0.00% | 19.75% | 5.32% |
| Consumer Cyclical | 0.00% | 0.00% | 88.83% | 28.72% |
| Basic Materials | 0.00% | 0.00% | 28.58% | 8.51% |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | QLERX % Rank | |
|---|---|---|---|---|
| US | 4.31% | 0.00% | 113.26% | 89.80% |
| Non US | 4.20% | -2.95% | 54.79% | 17.69% |
QLERX - Expenses
Operational Fees
| QLERX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 4.85% | 0.42% | 9.95% | 6.12% |
| Management Fee | 1.10% | 0.00% | 2.50% | 36.05% |
| 12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
| Administrative Fee | N/A | 0.03% | 1.54% | N/A |
Sales Fees
| QLERX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Front Load | N/A | 2.50% | 5.75% | N/A |
| Deferred Load | N/A | 1.00% | 4.00% | N/A |
Trading Fees
| QLERX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Max Redemption Fee | N/A | 0.50% | 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.
| QLERX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | 0.00% | 0.00% | 446.00% | 2.65% |
QLERX - Distributions
Dividend Yield Analysis
| QLERX | Category Low | Category High | QLERX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 15.95% | 0.00% | 27.22% | 7.53% |
Dividend Distribution Analysis
| QLERX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annual | Annual | Annual | Annual |
Net Income Ratio Analysis
| QLERX | Category Low | Category High | QLERX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -1.16% | -3.33% | 2.16% | 61.38% |
Capital Gain Distribution Analysis
| QLERX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 18, 2023 | $2.753 | OrdinaryDividend |
| Dec 19, 2022 | $1.329 | OrdinaryDividend |
| Dec 19, 2022 | $0.263 | CapitalGainShortTerm |
| Dec 19, 2022 | $0.231 | CapitalGainLongTerm |
| Dec 22, 2020 | $0.147 | CapitalGainLongTerm |
| Dec 19, 2018 | $0.235 | CapitalGainShortTerm |
| Dec 19, 2018 | $0.385 | CapitalGainLongTerm |
| Dec 19, 2018 | $0.040 | OrdinaryDividend |
| Dec 20, 2017 | $0.265 | CapitalGainShortTerm |
| Dec 20, 2017 | $0.440 | CapitalGainLongTerm |
| Dec 20, 2017 | $0.571 | OrdinaryDividend |
| Dec 20, 2016 | $0.060 | CapitalGainShortTerm |
| Dec 20, 2016 | $0.090 | CapitalGainLongTerm |
| Dec 20, 2016 | $0.250 | OrdinaryDividend |
| Dec 21, 2015 | $0.020 | CapitalGainLongTerm |
| Dec 21, 2015 | $0.587 | OrdinaryDividend |
| Dec 19, 2014 | $0.062 | CapitalGainShortTerm |
| Dec 19, 2014 | $0.035 | CapitalGainLongTerm |
QLERX - Fund Manager Analysis
Managers
Andrea Frazzini
Start Date
Tenure
Tenure Rank
Jul 16, 2013
8.88
8.9%
Andrea Frazzini is a Principal at AQR Capital Management, where he is the Head of our Global Stock Selection team. He is also an Adjunct Professor of Finance at New York University’s Stern School of Business. He has published in top academic journals and won several awards for his research, including the Smith Breeden Award, the Fama-DFA Prize, the BGI Michael Brennan Award, several Bernstein Fabozzi/Jacobs Levy Awards and the PanAgora Crowell Memorial Prize. Prior to joining AQR, Andrea was an associate professor of finance at the University of Chicago’s Graduate School of Business and a Research Associate at the National Bureau of Economic Research. He also served as a consultant for DKR Capital Partners and J.P. Morgan Securities and was on the board of directors of the Center for Research in Security Prices at the University of Chicago. He earned a B.S. in economics from the University of Roma Tre, an M.S. in economics from the London School of Economics and a Ph.D. in economics from Yale University.
Michele Aghassi
Start Date
Tenure
Tenure Rank
Mar 16, 2016
6.21
6.2%
Michele Aghassi is a Principal at AQR Capital Management, where she serves as a portfolio manager for the firm's equity strategies. Throughout her tenure at AQR, she has been a leader in research and strategy development, contributing to the advancement of the stock selection investment process. She played a key role in launching the firm’s emerging equities strategy in 2008 and developed the proprietary robust optimization technology that AQR uses to build portfolios. In addition to her responsibilities at AQR, she serves on the Editorial Advisory Board of The Journal of Portfolio Management. Earlier in her career, Michele worked as a quantitative analyst in the proprietary equities department of D.E. Shaw & Co. Michele graduated magna cum laude from Brown University with a B.Sc. in applied mathematics and subsequently earned a Ph.D. in operations research from the Massachusetts Institute of Technology, where she was a National Science Foundation Graduate Research Fellow and an MIT Presidential Graduate Fellow.
Lars Nielsen
Start Date
Tenure
Tenure Rank
Jan 01, 2020
2.41
2.4%
Nielsen is a Principal of AQR Capital Management. Mr. Nielsen joined AQR in 2000 and currently serves as the co-head of portfolio management, research, risk and trading. He earned a B.Sc. and an M.Sc. in economics from the University of Copenhagen. Prior to joining the Adviser in 2000, he was an Analyst in the Quantitative Research Group of Danske Invest.
John Huss
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
John J. Huss, Principal, rejoined AQR in 2013 and oversees multi-asset class strategies as a researcher and portfolio manager. Mr. Huss rejoined the AQR Capital Management in 2013 and is a portfolio manager for the firm’s World Allocation strategy where he focuses on macroeconomic and portfolio construction research for risk parity and other asset allocation strategies. Prior to rejoining the firm, where he first worked from 2004 to 2008, Mr. Huss was a vice president in RBC’s Global Arbitrage and Trading division and a systematic portfolio manager for Tudor Investment Corp. Mr. Huss earned a B.S. in mathematics from the Massachusetts Institute of Technology.
Clifford Asness
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
Dr. Asness is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an research notable for its relevance and enduring value to investment professionals. Prior to co-founding AQR Capital Management, he was a Managing Director and Director of Quantitative Research for the Asset Management Division of Goldman, Sachs & Co. Dr. Asness is on the editorial board of The Journal of Portfolio Management, the governing board of the Courant Institute of Mathematical Finance at NYU, the Board of Directors of the Q-Group.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.07 | 23.55 | 5.96 | 7.93 |
