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AQR Trend Total Return Fund
mutual fund
QNZNX
Payout Change
Pending
Price as of:
$15.27
-0.02
-0.13%
primary theme
Long-Short Equity
share class
QNZNX (Mutual Fund)
AQR Trend Total Return Fund
Payout Change
Pending
Price as of:
$15.27
-0.02
-0.13%
primary theme
Long-Short Equity
share class
QNZNX (Mutual Fund)
AQR Trend Total Return Fund
Payout Change
Pending
Price as of:
$15.27
-0.02
-0.13%
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
34.2%
1 yr return
32.9%
3 Yr Avg Return
N/A
5 Yr Avg Return
N/A
Net Assets
$46.5 M
Holdings in Top 10
81.8%
52 WEEK LOW AND HIGH
$15.3
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 3.24%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 0.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$1,000,000
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
QNZNX - Profile
Distributions
- YTD Total Return 34.2%
- 3 Yr Annualized Total Return N/A
- 5 Yr Annualized Total Return N/A
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -1.54%
- Dividend Yield 17.2%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameAQR Trend Total Return Fund
-
Fund Family NameAQR Funds
-
Inception DateDec 16, 2021
-
Shares OutstandingN/A
-
Share ClassN
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerAndrea Frazzini
Fund Description
The Fund pursues its investment objective by allocating assets among four major asset classes (commodities, currencies, equities and fixed income).Generally, the Fund gains exposure to asset classes by investing in several hundred futures contracts, futures-related instruments, forwards and swaps, including, but not limited to, commodity futures, forwards and swaps; currencies, currency futures and forwards; equities, equity index futures, equity swaps and volatility futures; bond futures and swaps; interest rate futures and swaps and credit default index swaps (collectively, the “Instruments”). The Fund may either invest directly in the Instruments or indirectly by investing in the Subsidiary (as described below) that invests in the Instruments. There are no geographic limits on the market exposure of the Fund’s assets. This flexibility allows the Adviser to look for investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will enhance the Fund’s ability to meet its objective. The Fund may also invest in exchange- traded funds or exchange-traded notes through which the Fund can participate in the performance of one or more Instruments. The Fund’s return is expected to be derived principally from changes in the value of securities and its portfolio is expected to consist principally of securities.The Fund seeks to provide investors with two different sources of return: 1) strategic exposure to equity markets, and 2) the potential gains from a trend-following approach. Within the exposure to equity markets, the Adviser, on average, intends to target a portfolio beta of approximately 0.5 to the equity market. “Beta” refers to an investment’s sensitivity to a securities market. Trend strategies favor investments that follow an identified positive or negative trend. Within its trend-following approach, the Adviser uses a proprietary, systematic, and quantitative process which seeks to benefit from price trends in commodity, currency, equity, volatility, credit, and fixed income Instruments. As part of this process, the Fund will take either a long or short position in a given Instrument. The size and type (long or short) of the position taken will relate to various factors, including the Adviser’s systematic assessment of a trend, utilizing both price and fundamental data, and its likelihood of continuing as well as the Adviser’s estimate of the Instrument’s risk. The owner of a long position in an instrument will benefit from an increase in the price of the instrument, or, in the case of a derivative instrument, from an increase in the price of the underlying instrument. The owner of a short position in an instrument will benefit from a decrease in the price of the instrument, or, in the case of a derivative instrument, from a decrease in the price of the underlying instrument. An example of a trend measure is using short-term prices (e.g., prices over a one-to-three-month period) to select an equity index.The Adviser generally expects that the Fund will have exposure in long and short positions across all four major asset classes (commodities, currencies, fixed income and equities), but at any one time the Fund may emphasize one or two of the asset classes or a limited number of exposures within an asset class. The Fund is not designed to be equity market-neutral and is expected to have a long-term positive beta to the equity market. The Fund may have exposure to companies of any market capitalization. There is no percentage limit on the Fund's exposure to below investment-grade fixed income securities or to small less-liquid equity securities.For the trend-following approach, the Adviser, on average, will typically target an annualized volatility level of between 5% to 13%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. With respect to the Fund’s equity market exposure, the Fund’s volatility from this exposure will be a function and outcome of prevailing market conditions. Hence, total actual or realized volatility experienced by the Fund can and will differ materially from the target volatility described above over longer or shorter periods depending on market conditions. Higher volatility generally indicates higher risk.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 futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an 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 Instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the asset class and that 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 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 Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.As a result of the Fund’s strategy, the Fund may have highly leveraged exposure to one or more asset classes at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the Fund’s ability to use leverage; however, the Fund is not subject to any additional limitations on its net long and short exposures. For example, the Fund, on average, could hold instruments that provide three to four times the net return of a broad- or narrow-based securities index. For more information on these and other risk factors, please see the “Principal Risks of Investing in the Fund” section of the prospectus.When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Fund’s strategy will result in frequent portfolio trading and high portfolio turnover (typically greater than 300% per year).The Adviser will consider the potential federal income tax impact on a 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.The Fund intends to make investments through the Subsidiary and may invest up to 25% of its total assets in the Subsidiary. Generally, the Subsidiary will invest primarily in commodity-linked derivative instruments, such as commodity futures, forwards and swaps (which may include swaps on commodity futures), and will hold cash and Cash Equivalents. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 on a consolidated basis with respect to investments in derivatives. In addition, the Fund and the Subsidiary will be subject to the same fundamental investment restrictions on a consolidated basis and, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company under Subchapter M of the Code. The Fund is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors.
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QNZNX - Performance
Return Ranking - Trailing
| Period | QNZNX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 34.2% | -11.9% | 43.9% | 4.76% |
| 1 Yr | 32.9% | -11.4% | 49.0% | 5.44% |
| 3 Yr | N/A* | -8.1% | 25.4% | N/A |
| 5 Yr | N/A* | -2.6% | 23.5% | N/A |
| 10 Yr | N/A* | -4.0% | 11.2% | N/A |
* Annualized
Return Ranking - Calendar
| Period | QNZNX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 0.1% | -17.3% | 43.8% | 73.47% |
| 2022 | N/A | -54.0% | 17.4% | N/A |
| 2021 | N/A | -40.0% | 54.1% | N/A |
| 2020 | N/A | -47.6% | 88.4% | N/A |
| 2019 | N/A | -20.3% | 62.6% | N/A |
Total Return Ranking - Trailing
| Period | QNZNX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 34.2% | -11.9% | 43.9% | 4.76% |
| 1 Yr | 32.9% | -11.4% | 49.0% | 5.44% |
| 3 Yr | N/A* | -8.1% | 25.4% | N/A |
| 5 Yr | N/A* | -2.6% | 23.5% | N/A |
| 10 Yr | N/A* | -4.0% | 11.2% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | QNZNX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 23.3% | -14.5% | 43.8% | 12.93% |
| 2022 | N/A | -54.0% | 50.3% | N/A |
| 2021 | N/A | -40.0% | 61.6% | N/A |
| 2020 | N/A | -29.9% | 91.0% | N/A |
| 2019 | N/A | -17.9% | 79.4% | N/A |
NAV & Total Return History
QNZNX - Holdings
Concentration Analysis
| QNZNX | Category Low | Category High | QNZNX % Rank | |
|---|---|---|---|---|
| Net Assets | 46.5 M | 1.08 M | 6.67 B | 70.75% |
| Number of Holdings | 2730 | 3 | 2730 | 1.36% |
| Net Assets in Top 10 | 35.8 M | -4.86 M | 2.41 B | 61.22% |
| Weighting of Top 10 | 81.84% | -9.9% | 110.8% | 21.77% |
Top 10 Holdings
- Limited Purpose Cash Investment Fund 64.25%
- U.S. Treasury Bills 11.03%
- U.S. Treasury Bills 2.68%
- SP 500 E-Mini Index 1.29%
- U.S. Treasury Bills 0.78%
- Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 0.53%
- Broadcom, Inc. 0.34%
- IHI Corp. 0.34%
- Xcel Energy, Inc. 0.31%
- GSK plc 0.29%
Asset Allocation
| Weighting | Return Low | Return High | QNZNX % Rank | |
|---|---|---|---|---|
| Cash | 97.79% | 0.00% | 109.95% | 2.72% |
| Other | 2.86% | -57.63% | 99.50% | 10.88% |
| Convertible Bonds | 0.00% | -0.02% | 4.48% | N/A |
| Bonds | 0.00% | 0.00% | 108.68% | 87.07% |
| Stocks | -0.13% | -0.13% | 113.26% | 99.32% |
| Preferred Stocks | -0.53% | -1.13% | 6.36% | 97.28% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | QNZNX % Rank | |
|---|---|---|---|---|
| Utilities | 0.00% | 0.00% | 21.71% | N/A |
| Technology | 0.00% | 0.00% | 43.24% | N/A |
| Real Estate | 0.00% | 0.00% | 10.93% | N/A |
| Industrials | 0.00% | 0.00% | 31.93% | N/A |
| Healthcare | 0.00% | 0.00% | 100.00% | N/A |
| Financial Services | 0.00% | 0.00% | 83.83% | N/A |
| Energy | 0.00% | 0.00% | 32.57% | N/A |
| Communication Services | 0.00% | 0.00% | 32.32% | N/A |
| Consumer Defense | 0.00% | 0.00% | 19.75% | N/A |
| Consumer Cyclical | 0.00% | 0.00% | 88.83% | N/A |
| Basic Materials | 0.00% | 0.00% | 28.58% | N/A |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | QNZNX % Rank | |
|---|---|---|---|---|
| US | 1.11% | 0.00% | 113.26% | 93.20% |
| Non US | -1.24% | -2.95% | 54.79% | 98.64% |
QNZNX - Expenses
Operational Fees
| QNZNX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 3.24% | 0.42% | 9.95% | 10.20% |
| Management Fee | 1.05% | 0.00% | 2.50% | 34.69% |
| 12b-1 Fee | 0.25% | 0.00% | 1.00% | 62.82% |
| Administrative Fee | N/A | 0.03% | 1.54% | N/A |
Sales Fees
| QNZNX 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
| QNZNX 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.
| QNZNX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | 0.00% | 0.00% | 446.00% | 7.96% |
QNZNX - Distributions
Dividend Yield Analysis
| QNZNX | Category Low | Category High | QNZNX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 17.15% | 0.00% | 27.22% | 5.48% |
Dividend Distribution Analysis
| QNZNX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annual | Annual | Annual | Annual |
Net Income Ratio Analysis
| QNZNX | Category Low | Category High | QNZNX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -1.54% | -3.33% | 2.16% | 78.62% |
Capital Gain Distribution Analysis
| QNZNX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 18, 2023 | $2.622 | OrdinaryDividend |
| Dec 19, 2022 | $0.228 | OrdinaryDividend |
| Dec 19, 2022 | $0.002 | CapitalGainShortTerm |
| Dec 19, 2022 | $0.002 | CapitalGainLongTerm |
QNZNX - Fund Manager Analysis
Managers
Andrea Frazzini
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
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.
John Liew
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
Dr. Liew is a Founder and the head of the Global Asset Allocation team at of AQR, overseeing the research, portfolio management and trading associated with that strategy. Prior to AQR, he worked at Goldman, Sachs & Co. as a portfolio manager in the Asset Management Division where he developed and managed quantitative trading strategies. Dr. Liew began his career at Trout Trading, developing quantitative market-neutral stock-selection strategies. Dr Liew has published articles in The Journal of Portfolio Management and Financial Analysts Journal, and has received the Bernstein Fabozzi/Jacobs Levy award and the Graham and Dodd award for his articles. Dr. Liew is a member of the University of Chicago’s Board of Trustees and sits on the university’s investment committee. Dr Liew earned a B.A. in economics, an M.B.A. and a Ph.D. in finance from Chicago.
John Huss
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
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.
Michele Aghassi
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
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.
Lukasz Pomorski
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
Lukasz Pomorski, Ph.D., M.A., is a Managing Director of the Adviser. Dr. Pomorski joined the Adviser in 2014 and is Head of ESG Research. In this role he is responsible for the planning and oversight of the Adviser’s responsible investment research efforts across all asset classes. Dr. Pomorski earned a B.A. and M.A. in economics at the Warsaw School of Economics, an M.A. in finance at Tilburg University, and a Ph.D. in finance at the University of Chicago.
Clifford Asness
Start Date
Tenure
Tenure Rank
Dec 16, 2021
0.45
0.5%
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 |
