AQR Volatility Risk Premium Fund

Data updated: 2020-11-20

C000205262 — AQR Volatility Risk Premium Fund. Global (incl. US) Blend / Core Equity · $11.80M AUM. Holdings, fees, performance and SEC filings.

C000205262 Fund Overview

AQR Volatility Risk Premium Fund is a US mutual fund managed by AQR Funds, categorised as Global (incl. US) 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: Global (incl. US) Blend / Core Equity
Assets under management: $11.80M
1-year return: 1.5%
SEC CIK: 0001444822
SEC series ID: S000063276
Share class ID: C000205262

C000205262 Investment Objective and Strategy

AQR Volatility Risk Premium Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.

Investment objective

The AQR Volatility Risk Premium Fund (the Fund) seeks total return. Total return consists of capital appreciation and income.

Principal investment strategy

The Fund seeks to outperform a custom benchmark that consists of 50% MSCI World Net Total Return USD Index + 50% ICE BofAML US 3-Month Treasury Bill Index by providing investors with potential gains from three different sources of return: 1) overall exposure to global equity markets, 2) selling (i.e., writing) options to capture the volatility risk premium (i.e., the premium that buyers of options are willing to pay for this form of financial insurance), and 3) an active equity strategy that seeks to outperform a broad-based global equity benchmark. The Fund is not designed to be market neutral, which means that the Fund is not designed to be uncorrelated with the returns of the equity markets in which the Fund invests. The Adviser, on average, intends to target a portfolio beta (i.e., the portfolio's sensitivity to fluctuations in the securities markets) of 0.5 to the MSCI World Net Total Return USD Index.

Under normal market conditions, the Funds beta, on average, is expected to range between 0.4 and 0.6. The Fund invests globally in a broad range of instruments, including, but not limited to, equities, futures (including index futures, equity futures, interest rate futures and bond futures), currency futures and forwards, options (including written and purchased options on equities, bonds and equity and bond futures, including futures on indices) and swaps (including equity swaps, equity index swaps and swaps on futures) (collectively, the Instruments). The Funds exposure to the bonds asset class includes sovereign debt issued by developed countries. The Fund may also invest in other registered investment companies including exchange-traded funds (ETFs). Volatility Risk Premium Strategy The Fund seeks to capture the volatility risk premium across global developed equity and bond markets by selling (i.e., writing) call and put options to buyers seeking financial insurance in exchange for a premium, or payment, from the option buyer.

To implement the volatility risk premium strategy, the Fund will sell put and call options at various strike prices and with various expiration dates on various equity and bond reference assets (including indices) across global developed markets. The Fund will seek to sell options that appear expensive based on the Advisers proprietary quantitative models (that is, where the demand for protection is high resulting in premiums on the written options that are attractive to the Adviser). The Fund may sell uncovered call and put options (i.e., where the Fund does not own or is not short, as applicable, the Instrument underlying the call or put option) and covered call and put options (i.e., where the Fund holds or is short, as applicable, an equivalent position in the Instrument underlying the call or put option).

The Fund will generally delta-hedge an option it sells by taking long or short positions in the Instrument underlying the option. Delta-hedging is intended to hedge the options directional exposure to the underlying Instrument, thereby reducing the strategys overall return volatility. The Fund will generally delta-hedge through the use of ETFs and/or futures. Written option positions may be closed out during a rebalancing process, either by purchasing the same option or an option on the same underlying Instrument that the Adviser has determined will achieve a similar result. The premiums the Fund receives from the sale of put and call options can be partially or completely offset by the amount it needs to pay out; however, the Fund seeks to execute its options strategy so that the premiums it receives are greater than the amounts paid out, inclusive of any gains or losses resulting from hedging activities.

The Funds total exposure to the volatility risk premium strategy will vary over time based in part on the Advisers estimate of the losses that could occur in periods of a sudden increase in volatility or extreme price movements (up or down) in equity or bond markets. If, however, such extreme price movements occur, they may result in large Fund losses. Active Equity Strategy Under normal market conditions the Fund will invest approximately 50% of its total assets in an actively managed portfolio of global equities (the Equity Sleeve). The Equity Sleeve seeks to outperform, after expenses, the MSCI World Net Total Return USD Index while seeking to control its tracking error relative to this benchmark. The Equity Sleeve will target a long-term average forecasted tracking error of approximately 2-3% relative to the MSCI World Net Total Return USD Index.

Actual realized tracking error will vary based on market conditions and other factors. The Equity Sleeve will be managed by both overweighting and underweighting securities, industries and sectors relative to the MSCI World Net Total Return USD Index. In selecting the Funds equity investments, 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, momentum and quality. 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 relative performance and positive changes in fundamentals. Quality indicators identify stable companies in good business health, including those with strong profitability and stable earnings. In addition to these three indicators, the Adviser may use a number of additional quantitative indicators based on the Advisers proprietary research. The Adviser may add or modify the economic indicators employed in selecting portfolio holdings from time to time. The Fund may invest in or have exposure to companies of any size. The Fund does not limit its investments to any one country, and may invest in any one country without limit. The Fund may, but is not required to, hedge exposure to foreign currencies using foreign currency forwards or futures.

General In seeking to achieve its investment objective, the Fund may take both long and short positions through the use of derivative Instruments. A long position in a derivative Instrument will benefit from an increase in the price of the underlying instrument and will lose value if the price of the underlying Instrument decreases. 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. The Adviser will consider the potential federal income tax impact on a shareholders after-tax investment return of certain trading decisions, including but not limited to, selling or closing out of Instruments to realize losses, or to refrain from selling or closing out of Instruments to avoid realizing gains, when determined by the Adviser to be appropriate.

The Funds use of options, futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an 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 did not use Instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the asset class and that Instrument increases in value, the gain to the Fund will be magnified. If that investment decreases in value, however, the loss to the Fund will be magnified. A decline in the Funds assets due to losses magnified by the 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 Instruments providing enhanced exposure will enable the Fund to achieve its investment objective. 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. 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. These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund.

C000205262 Performance

Total returns for C000205262 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	1.5%

C000205262 Risk Information

Risk metrics for C000205262, derived from monthly returns in SEC filings.

1-year volatility (annualised): 14.5%

C000205262 Costs and Fees

C000205262 costs about $78 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.78%
Gross expense ratio: 2.65%
Portfolio turnover: 103%
Brokerage commissions: 4.53 bps of average net assets (SEC N-CEN)

C000205262 Cashflows

Over the 12 months to 2020-09, AQR Volatility Risk Premium Fund had net outflows of $62.16K, from monthly SEC N-PORT filings.

Month	Net flow
2020-09	$9.98K
2020-08	−$47.73K
2020-07	−$86.72K
2020-06	$0
2020-05	$12.84K
2020-04	$1.65K

C000205262 Debt Constituents

No individual debt constituents are reported in AQR Volatility Risk Premium Fund's latest SEC N-PORT filing.

C000205262 Prospectus and SEC Filings

Official AQR Volatility Risk Premium Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Global (incl. US) Blend / Core Equity 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.