C000119366 Performance — AQR Risk Parity II HV Fund, Class I
Data updated: 2020-11-20
C000119366 returned +0.50% over one year to Sep 2020. Over one year the fund trailed its Money Market category average: $100 grew to $100, against $102 for the category. Volatility over the past 12 months was 15.12% a year. In the 12 months to Sep 2020 the fund lost a net $3.9M, and assets reached $23.96M.
C000119366 Growth of $100
What $100 invested in AQR Risk Parity II HV Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Money Market category average over the same months.
| Period | C000119366 | Category average |
|---|---|---|
| 1 year (Oct 2019 – Sep 2020) | $100 | $102 |
| Since data start (Jul 2019 – Sep 2020) | $104 | $102 |
C000119366 Trailing Returns
Total returns to Sep 2020, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +0.50% |
C000119366 Annual Returns
Calendar-year total returns of AQR Risk Parity II HV Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2020 (Jan–Sep) | −4.24% |
| 2019 (Jul–Dec) | +8.10% |
C000119366 Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +0.1% | −3.8% | −11.3% | +2.4% | +2.1% | +2.1% | +5.2% | +2.0% | −2.1% | — | — | — |
| 2019 | — | — | — | — | — | — | +1.3% | +2.2% | −0.5% | +0.8% | 0.0% | +4.2% |
C000119366 Risk
Risk measures from monthly returns over Oct 2019 – Sep 2020.
- 1-year volatility (annualised): 15.12%
- Best month: +5.16% (Jul 2020)
- Worst month: −11.31% (Mar 2020)
C000119366 Fund Flows
Monthly money in and out of AQR Risk Parity II HV Fund, from SEC Form N-PORT.
- 12-month net flow: −$3.9M
- 12-month gross sales (incl. reinvestments): $13.5M
- Sales ÷ redemptions: 0.78×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Sep 2020 | $517K | $268K | $248K |
| Aug 2020 | $9K | $706K | −$697K |
| Jul 2020 | $5K | $4.5M | −$4.5M |
| Jun 2020 | $5.6M | $5.8M | −$192K |
| May 2020 | $14K | $1.4M | −$1.4M |
| Apr 2020 | $311K | $724K | −$413K |
| Mar 2020 | $744K | $1.7M | −$986K |
| Feb 2020 | $402K | $911K | −$508K |
| Jan 2020 | $759K | $88K | $672K |
| Dec 2019 | $3.4M | $910K | $2.5M |
| Nov 2019 | $512K | $136K | $376K |
| Oct 2019 | $1.2M | $236K | $969K |
C000119366 Assets Under Management
Net assets of AQR Risk Parity II HV Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2020-09-30 | $23.96M |
| 2020-06-30 | $27.53M |
| 2020-03-31 | $27.81M |
| 2019-12-31 | $33.39M |
| 2019-09-30 | $31.41M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.