AQR Emerging Defensive Style Fund

Data updated: 2020-12-11

C000145936 — AQR Emerging Defensive Style Fund. Money Market · $8.63M AUM · 0.60% expense ratio. Holdings, fees, performance and SEC filings.

C000145936 Fund Overview

AQR Emerging Defensive Style Fund is a US mutual fund managed by AQR Funds, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: AQR Funds
Category: Money Market
Assets under management: $8.63M
1-year return: -2.9%
SEC CIK: 0001444822
SEC series ID: S000037431
Share class ID: C000145936

C000145936 Investment Objective and Strategy

AQR Emerging Defensive Style Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.

Investment objective

The AQR Emerging Defensive Style Fund (the Fund) seeks total return. Total return consists of capital appreciation and income.

Principal investment strategy

The Fund pursues a defensive investment style, seeking to provide downside protection with upside potential through active stock selection, risk management and diversification. The Fund pursues its objective by investing, under normal market conditions, at least 80% of its net assets (including any borrowings for investment purposes) in Equity Instruments of Emerging Markets Issuers. Equity Instruments include common stock, preferred stock, warrants, exchange-traded funds that invest in equity securities, stock index futures, depositary receipts and other derivative instruments where the reference asset is an equity security. An issuer will be considered an Emerging Markets Issuer if it is organized, domiciled, or has a principal place of business in a country that is part of the MSCI Emerging Markets Index, or if an instrument provides exposure to the change in value of a company that meets that definition.

However, the Fund may also invest in issuers organized, domiciled, or with a principal place of business in other countries if the Adviser considers it advisable to achieve the Funds investment objective. The Fund can invest in companies of any size and may invest to a significant extent in small- and mid-cap companies from time to time in the discretion of the Adviser. Pending investment in Equity Instruments of Emerging Markets Issuers or for use as collateral to meet margin requirements, the Fund may invest in short-term instruments, including U.S. Government securities, bank certificates of deposit, money market instruments or funds, and such other liquid investments deemed appropriate by the Adviser. The Fund may invest in these securities without limit for temporary defensive purposes.

There is no guarantee that the Funds objective will be met. The Fund also engages in currency transactions with counterparties primarily in order to hedge against a decline in the value of portfolio holdings denominated in particular currencies and to provide temporary exposure to a particular currency in lieu of leaving cash inflows uninvested. Currency transactions include forward currency contracts and exchange listed currency futures. A forward currency contract involves a privately negotiated obligation to purchase or sell (with delivery generally required) a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The Fund seeks to diversify currency exposures and to avoid the risk of high exposures to any one currency, including U.S.

dollars. The Fund pursues a defensive investment style, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. In other words, the Fund expects to lag the performance of traditional emerging markets equity funds when these markets are rising, but to exceed the performance of traditional emerging markets equity funds during emerging equity market declines. To achieve this result, the Fund will be broadly diversified across companies, industries and countries and will invest in companies that the Adviser has identified to have low measures of risk and high quality (e.g., stable companies in good business health). The Adviser believes that the stocks of these types of companies tend to be lower beta stocks and that lower beta stocks generally are less volatile than higher beta stocks (that is, their value has a lower sensitivity to fluctuations in the securities markets).

The Adviser expects low beta and high quality stocks to produce higher risk-adjusted returns over a full market cycle than high beta or poor quality stocks. The Fund is actively managed and the Adviser will vary the Funds exposures to issuers, industries, countries and currencies based on the Advisers evaluation of investment opportunities within and across markets. In constructing the portfolio, the Adviser uses quantitative models, which combine active management to identify quality companies and statistical measures of risk to assure diversification by issuer, country, currency and industry, as well as additional criteria that form part of the Advisers security selection process. The Adviser will use volatility and correlation forecasting and portfolio construction methodologies to manage the Fund.

The Adviser utilizes quantitative risk models in furtherance of the Funds investment objective, which seek to control portfolio level risk. Shifts in allocations among issuers, industries, countries or currencies will be determined using the quantitative models based on the Advisers determinations of risk and quality, as well as other factors including, but not limited to, managing industry and sector exposures. The Fund bears the risk that the quantitative models used by the portfolio managers will not be successful in forecasting market returns or in determining the weighting of investment positions that will enable the Fund to achieve its investment objective. In managing the Funds portfolio, the Adviser may from time to time utilize certain tax management techniques which consider the potential impact of federal income tax on shareholders investment return.

The Fund makes use of derivative instruments, which may be used for hedging purposes and to enhance returns. The Fund may use derivatives as a substitute for investing in conventional securities and for investment purposes to increase its economic exposure to a particular security, currency or index in a cost effective manner. The Funds use of derivatives such as futures contracts, forward contracts and certain other Equity Instruments (that are 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 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 does not use Equity Instruments that have a leveraging effect.

Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the Funds exposure to an asset and may cause the Funds NAV to be volatile. For example, if the Adviser seeks to gain enhanced exposure to a specific asset through an Equity Instrument providing leveraged exposure to the asset and that Equity Instrument increases in value, the gain to the Fund will be magnified; however, if that investment decreases in value, the loss to the Fund will be magnified. A decline in the Funds assets due to losses magnified by the Equity Instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations, to meet redemption requests or to meet asset segregation requirements when it may not be advantageous to do so. There is no assurance that the Funds use of Equity Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.

In addition, to attempt to increase its income or total return, the Fund may lend its portfolio securities to certain types of eligible borrowers. The Adviser utilizes portfolio optimization techniques to determine trading activity, taking into account the transaction costs associated with trading each Equity Instrument. The Fund employs sophisticated proprietary trading techniques in an effort to mitigate trading costs and execution impact on the Fund.

C000145936 Performance

Total returns for C000145936 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	-2.9%

C000145936 Risk Information

Risk metrics for C000145936, derived from monthly returns in SEC filings.

1-year volatility (annualised): 20.8%

C000145936 Costs and Fees

C000145936 costs about $60 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.60%
Gross expense ratio: 0.87%
Portfolio turnover: 30%
Brokerage commissions: 8.99 bps of average net assets (SEC N-CEN)

C000145936 Cashflows

Over the 12 months to 2020-09, AQR Emerging Defensive Style Fund had net outflows of $61.44M, from monthly SEC N-PORT filings.

Month	Net flow
2020-09	−$497.75K
2020-08	−$552.24K
2020-07	−$398.13K
2020-06	−$2.35M
2020-05	−$3.95M
2020-04	−$52.49M

C000145936 Debt Constituents

No individual debt constituents are reported in AQR Emerging Defensive Style Fund's latest SEC N-PORT filing.

C000145936 Prospectus and SEC Filings

Official AQR Emerging Defensive Style Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Money Market funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.