AQR Large Cap Relaxed Constraint Equity Fund

C000175706 Fund Overview

AQR Large Cap Relaxed Constraint Equity Fund is a US mutual fund managed by AQR Funds, categorised as United States Large Cap Blend / Core Equity. 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: United States Large Cap Blend / Core Equity
• Assets under management: $13.78M
• SEC CIK: 0001444822
• SEC series ID: S000055801
• Share class ID: C000175706

C000175706 Investment Objective and Strategy

AQR Large Cap Relaxed Constraint Equity Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.

Investment objective

The AQR Large Cap Relaxed Constraint Equity Fund (the “Fund”) seeks long-term capital appreciation.

Principal investment strategy

The Fund seeks to outperform, after expenses, the Russell 1000 Index while seeking to control its tracking error relative to this benchmark. The Fund will target a long-term average forecasted tracking error of 3% to 4% relative to the Russell 1000 Index. Actual realized tracking error will vary based on market conditions and other factors. The Fund pursues its investment objective by investing, under normal market conditions, at least 80% of its net assets (including borrowings for investment purposes) in equity securities or equity-related instruments (together, equity securities) of large-cap companies. Equity securities include, but are not limited to, common stocks, exchange-traded funds and similar pooled investment vehicles, equity index futures and depositary receipts. The Funds portfolio will be managed by both overweighting and underweighting securities, industries, and sectors relative to the Russell 1000 Index.

Relaxed Constraint in the Funds name reflects the Funds strategy to take long as well as short positions in the equity securities in which it invests, as opposed to a traditional long-only portfolio which does not establish short positions (i.e., relaxing the long-only constraint). Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Advisers views on securities it expects to underperform. Selling securities short also allows the Fund to establish additional long positions using the short sale proceeds, and thereby take greater advantage, compared to a long-only approach, of the Advisers views on securities it expects to outperform. Through the reinvestment of the short sale proceeds, the Fund generally intends to target a long exposure of 130% of the Funds net assets with a short exposure of 30% of the Funds net assets.

Actual long and short exposures, however, will vary according to market conditions. The Funds long exposures are expected to range between 120% and 140% of the Funds net assets. The Funds short exposures are expected to range between 20% and 40% of the Funds net assets. The Fund, when taking a long equity position, will purchase a security that will benefit from an increase in the price of that security. When taking a short equity position, the Fund borrows the security from a third party and sells it at the then current market price. A short equity position will benefit from a decrease in price of the security and will lose value if the price of the security increases. In constructing the Funds portfolio, the Adviser utilizes a quantitative investment process. A quantitative investment process is a systematic method of evaluating securities and other assets by analyzing a variety of data through the use of modelsor processesto generate an investment opinion.

The models consider a wide range of factors, including, but not limited to, value and momentum. Value strategies favor securities that appear cheap based on fundamental measures, often as a result of lack of favor. Examples of value strategies include using price-to-earnings and price-to-book ratios. Momentum strategies favor securities with strong recent performance and positive changes in fundamentals. In addition to these two main factors, the Adviser may use a number of additional factors based on the Advisers proprietary research, including but not limited to, quality, investor sentiment and management signaling. The Adviser may add to or modify the factors employed in selecting investments. The Adviser determines the long or short weight of each equity security in the portfolio using portfolio optimization techniques, taking into account the Advisers assessment of attractiveness of the equity security based on various factors, including those described above, stock weights in the benchmark index, estimated transaction costs associated with trading each equity security, and additional criteria that form part of the Advisers security selection process.

The Fund generally invests in large-cap U.S. companies, which the Adviser generally considers to be those companies with market capitalizations within the range of the Russell 1000 Index at the time of purchase. The Fund may also invest in mid-cap securities. The Fund invests significantly in equity securities. The Fund may also invest in or use financial futures contracts as well as exchange-traded funds and similar pooled investment vehicles, for hedging purposes, to gain exposure to the equity market and to maintain liquidity to pay for redemptions. A portion of the Funds assets may be held in cash or cash-equivalent investments, including, but not limited to, short-term investment funds. As with equity positions, the Fund may also take long and short positions in derivative instruments, such as equity index futures contracts.

A long position in a derivative instrument will benefit from an increase in the price of the underlying instrument. A short position in a derivative instrument will benefit from a decrease in price of the underlying instrument and will lose value if the price of the underlying instrument increases.

C000175706 Costs and Fees

C000175706 costs about $158 per $10,000 invested per year in fund expenses.

• Net expense ratio: 1.58%
• Gross expense ratio: 2.30%
• Portfolio turnover: 119%
• Brokerage commissions: 0.58 bps of average net assets (SEC N-CEN)

C000175706 Cashflows

Over the 12 months to 2019-09, AQR Large Cap Relaxed Constraint Equity Fund had net outflows of $524.26K, from monthly SEC N-PORT filings.

C000175706 Debt Constituents

No individual debt constituents are reported in AQR Large Cap Relaxed Constraint Equity Fund's latest SEC N-PORT filing.

C000175706 Prospectus and SEC Filings

Official AQR Large Cap Relaxed Constraint Equity Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-02-19
• Prospectus (485BPOS) — filed 2018-02-16
• Prospectus supplement (497) — filed 2018-10-01
• Portfolio holdings (N-PORT) — filed 2019-11-25
• Annual census (N-CEN) — filed 2019-12-16
• Annual census (N-CEN) — filed 2018-12-12

Related Funds

Other United States Large Cap Blend / Core Equity funds tracked on ABC INVEST:

• Vanguard Total Stock Market Index Fund (VTSMX)
• Vanguard 500 Index Fund (VFINX)
• iShares Core S&P 500 ETF (IVV)
• Fidelity 500 Index Fund (FXAIX)
• Vanguard Institutional Index Fund (VINIX)

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.