C000145942 Performance — AQR Risk Parity II MV Fund, Class R6
Data updated: 2021-11-23
C000145942 returned +17.38% over one year to Sep 2021. Over one year the fund beat its Money Market category average: $100 grew to $117, against $114 for the category. Volatility over the past 12 months was 8.56% a year. In the 12 months to Sep 2021 the fund lost a net $34.8M, and assets reached $51.95M.
C000145942 Growth of $100
What $100 invested in AQR Risk Parity II MV Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Money Market category average over the same months.
| Period | C000145942 | Category average |
|---|---|---|
| 1 year (Oct 2020 – Sep 2021) | $117 | $114 |
| Since data start (Jul 2019 – Sep 2021) | $122 | $117 |
C000145942 Trailing Returns
Total returns to Sep 2021, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +17.38% |
| 3 years (annualised) | +9.15% |
C000145942 Annual Returns
Calendar-year total returns of AQR Risk Parity II MV Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2021 (Jan–Sep) | +9.42% |
| 2020 | +5.31% |
| 2019 (Jul–Dec) | +5.68% |
C000145942 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | +0.3% | −0.6% | +0.3% | +4.5% | +2.6% | +1.5% | +3.3% | +0.2% | −2.9% | — | — | — |
| 2020 | +0.1% | −2.5% | −7.4% | +1.7% | +1.5% | +1.5% | +3.5% | +1.4% | −1.3% | −1.4% | +5.1% | +3.5% |
| 2019 | — | — | — | — | — | — | +0.8% | +1.6% | −0.3% | +0.6% | 0.0% | +2.8% |
C000145942 Risk
Risk measures from monthly returns over Oct 2020 – Sep 2021.
- 1-year volatility (annualised): 8.56%
- Best month: +5.11% (Nov 2020)
- Worst month: −2.89% (Sep 2021)
C000145942 Fund Flows
Monthly money in and out of AQR Risk Parity II MV Fund, from SEC Form N-PORT.
- 12-month net flow: −$34.8M
- 12-month gross sales (incl. reinvestments): $19.6M
- Sales ÷ redemptions: 0.36×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Sep 2021 | $13.7M | $2.1M | $11.6M |
| Aug 2021 | $10K | $2.7M | −$2.7M |
| Jul 2021 | $4K | $169K | −$165K |
| Jun 2021 | $89K | $134K | −$45K |
| May 2021 | $55K | $35.7M | −$35.7M |
| Apr 2021 | $150K | $244K | −$94K |
| Mar 2021 | $111K | $7.0M | −$6.9M |
| Feb 2021 | $80K | $80K | $76 |
| Jan 2021 | $132K | $1.3M | −$1.1M |
| Dec 2020 | $5.1M | $2.6M | $2.5M |
| Nov 2020 | $221K | $1.0M | −$792K |
| Oct 2020 | $6K | $1.4M | −$1.4M |
C000145942 Assets Under Management
Net assets of AQR Risk Parity II MV Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2021-09-30 | $51.95M |
| 2021-06-30 | $56.37M |
| 2021-03-31 | $85.49M |
| 2020-12-31 | $93.63M |
| 2020-09-30 | $90.72M |
| 2020-06-30 | $88.63M |
| 2020-03-31 | $90.29M |
| 2019-12-31 | $111.83M |
| 2019-09-30 | $109.37M |
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.