AQR Style Premia Alternative LV Fund

Data updated: 2020-11-20

C000145999 — AQR Style Premia Alternative LV Fund. Commodity · $42.58M AUM · 0.92% expense ratio. Holdings, fees, performance and SEC filings.

C000145999 Fund Overview

AQR Style Premia Alternative LV Fund is a US mutual fund managed by AQR Funds, categorised as Commodity. 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: Commodity
Assets under management: $42.58M
1-year return: -12.2%
SEC CIK: 0001444822
SEC series ID: S000046741
Share class ID: C000145999

C000145999 Investment Objective and Strategy

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

Investment objective

"The AQR Style Premia Alternative LV Fund (the ""Fund"") seeks positive absolute returns. As further described under ""Details About the AQR Style Premia Alternative LV Fund"" in the Funds prospectus, a ""positive absolute return"" seeks to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction."

Principal investment strategy

"The Fund pursues its investment objective by aiming to provide exposure to four separate investment styles (Styles): value, momentum, carry and defensive, using both long and short positions within the following asset groups (Asset Groups): equities, bonds, interest rates, commodities and currencies. The Fund may achieve its exposure to any of the Asset Groups by using derivatives rather than holding those assets directly. The Fund may also use derivatives for hedging purposes. The Fund implements the Styles by investing globally (including emerging markets) in a broad range of instruments, including, but not limited to, equities (primarily those issued by large- and mid-cap companies), futures (including commodity futures, index futures, equity futures, bond futures and interest rate futures), currency and commodity forwards, options and swaps (including commodity swaps, swaps on commodity futures, equity swaps, swaps on index futures, total return swaps and interest rate swaps) (collectively, the Instruments), either by investing directly in the Instruments or, indirectly, by investing in the Subsidiary (as described below) which invests in the Instruments.

The Fund may also invest in other registered investment companies including exchange-traded funds. The ""LV"" in the Funds name reflects that the Fund will be managed in a manner designed to have, on average, ""low volatility."" The Adviser, on average, will target an annualized volatility level for the Fund of 5%, which is similar to the historical volatility of intermediate-term government bonds. 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. The Adviser expects that the Funds targeted annualized forecasted volatility will typically range between 3% and 7%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions.

Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above. As of the date of this prospectus, the Adviser generally considers large- and mid-cap companies to be those companies with market capitalizations around the range of the MSCI World Index at the time of purchase. The Funds exposure to equities includes securities of U.S. and non-U.S. issuers and equity indices representing the United States and non-U.S. countries, including, with respect to non-U.S. countries, those from emerging markets. For the bonds Asset Group, the Fund will have exposure to U.S. Government securities and sovereign debt issued by other developed and emerging market countries. The Fund has no limits with respect to the credit rating, maturity or duration of the debt securities in which it may invest, and may invest in debt securities of any credit rating, maturity or duration, which may include high-yield or junk bonds.

From time to time, the Fund can have significant exposure to non-U.S. dollar denominated currencies, including emerging markets currencies. The Fund is generally intended to have a low correlation to the equity, bond and credit markets. The Fund also is not designed to match the performance of any hedge fund index. The Fund will utilize proprietary trading algorithms in order to minimize market impact and reduce trading costs. The Adviser will attempt to mitigate risk through diversification of holdings and through active monitoring of volatility, counterparties and other risk measures. There is no assurance, however, that the Fund will achieve its investment objective. The Styles employed by the Fund are: Value: Value strategies favor investments that appear cheap over those that appear expensive based on fundamental measures related to price, seeking to capture the tendency for relatively cheap assets to outperform relatively expensive assets.

The Fund will seek to buy assets that are cheap and sell those that are expensive. Examples of value measures include using price-to-earnings and price-to-book ratios for selecting equities. Momentum: Momentum strategies favor investments that have performed relatively well over those that have underperformed over the medium-term (i.e., one year or less), seeking to capture the tendency that an assets recent relative performance will continue in the near future. The Fund will seek to buy assets that recently outperformed their peers and sell those that recently underperformed. Examples of momentum measures include simple price momentum for selecting equities and price- and yield-based momentum for selecting bonds. Carry: Carry strategies favor investments with higher yields over those with lower yields, seeking to capture the tendency for higher-yielding assets to provide higher returns than lower-yielding assets.

The Fund will seek to buy high-yielding assets and sell low-yielding assets. An example of carry measures includes using interest rates to select currencies and bonds. Defensive: Defensive strategies favor investments with low-risk characteristics over those with high-risk characteristics, seeking to capture the tendency for lower risk and higher-quality assets to generate higher risk-adjusted returns than higher risk and lower-quality assets. The Fund will seek to buy low-risk, high-quality assets and sell high-risk, low-quality assets. Examples of defensive measures include using beta (i.e., an investments sensitivity to the securities markets) to select equities, and duration to select bonds. The Fund is actively managed and the Funds exposures to Styles and Asset Groups will vary based on the Advisers ongoing evaluation of investment opportunities.

The Fund expects to maintain exposure to all four Styles; however, not all Styles are represented within each Asset Group. The portfolio construction process is a bottom up systematic process which begins with the ranking of a universe of investments within each Asset Group based upon each applicable Style using multiple measures, some of which are listed above. Investments ranking near the top of the universe contribute the largest long weights among the universe and investments ranking near the bottom of the universe contribute the largest short weights among the universe to produce the target Asset Group portfolio. For each Asset Group, the Styles included in that Asset Group each contribute position weights to the Asset Group portfolio, in such a way that each Style achieves roughly equal risk within the Asset Group.

Asset Group portfolios are sized to also maintain a risk balanced allocation across Asset Groups within the Fund. Individual investments in the actual Asset Group portfolios are sold or closed out during the rebalancing process, the frequency of which is expected to vary depending on the Asset Group and the Advisers ongoing evaluation of certain factors including changes in market conditions and how much the actual portfolio deviates from the target portfolio. If derivative Instruments and Instruments with remaining maturities of one year or less are taken into account, the Funds strategy will result in frequent portfolio trading and high portfolio turnover. The Fund intends to make investments through the Subsidiary and may invest up to 25% of its total assets in the Subsidiary. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company.

Generally, the Subsidiary will invest primarily in commodity futures, commodity forwards, commodity swaps, swaps on commodity futures and other commodity-linked derivative Instruments but it may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiary's derivative positions. 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 Subsidiary will comply with the same 1940 Act asset coverage requirements with respect to its investments in commodity-linked derivatives that are applicable to the Fund's transactions 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. A portion of the Funds assets may be held in cash or cash equivalent investments, including, but not limited to, short-term investment funds and/or U.S. Government securities."

C000145999 Performance

Total returns for C000145999 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	-12.2%

C000145999 Risk Information

Risk metrics for C000145999, derived from monthly returns in SEC filings.

1-year volatility (annualised): 4.2%

C000145999 Costs and Fees

C000145999 costs about $92 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.92%
Gross expense ratio: 0.99%
Portfolio turnover: 157%
Brokerage commissions: 8.39 bps of average net assets (SEC N-CEN)

C000145999 Cashflows

Over the 12 months to 2020-09, AQR Style Premia Alternative LV Fund had net outflows of $168.32M, from monthly SEC N-PORT filings.

Month	Net flow
2020-09	−$22.86M
2020-08	−$23.74M
2020-07	−$4.83M
2020-06	−$9.99M
2020-05	$4.18M
2020-04	−$33.42M

C000145999 Debt Constituents

No individual debt constituents are reported in AQR Style Premia Alternative LV Fund's latest SEC N-PORT filing.

C000145999 Prospectus and SEC Filings

Official AQR Style Premia Alternative LV Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Commodity 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.