C000205262 Performance — AQR Volatility Risk Premium Fund, Class I
Data updated: 2020-11-20
C000205262 returned +1.48% over one year to Sep 2020. Over one year the fund trailed its Global Blend category average: $100 grew to $101, against $106 for the category. Volatility over the past 12 months was 14.48% a year. In the 12 months to Sep 2020 the fund lost a net $62K, and assets reached $11.80M.
C000205262 Growth of $100
What $100 invested in AQR Volatility Risk Premium Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Global Blend category average over the same months.
| Period | C000205262 | Category average |
|---|---|---|
| 1 year (Oct 2019 – Sep 2020) | $101 | $106 |
| Since data start (Jul 2019 – Sep 2020) | $101 | $106 |
C000205262 Trailing Returns
Total returns to Sep 2020, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +1.48% |
C000205262 Annual Returns
Calendar-year total returns of AQR Volatility Risk Premium Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2020 (Jan–Sep) | −2.41% |
| 2019 (Jul–Dec) | +3.28% |
C000205262 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | −1.1% | −5.5% | −9.4% | +6.4% | +3.0% | +0.4% | +2.6% | +3.3% | −1.3% | — | — | — |
| 2019 | — | — | — | — | — | — | +0.2% | −2.1% | +1.3% | +1.2% | +1.5% | +1.3% |
C000205262 Risk
Risk measures from monthly returns over Oct 2019 – Sep 2020.
- 1-year volatility (annualised): 14.48%
- Best month: +6.36% (Apr 2020)
- Worst month: −9.37% (Mar 2020)
C000205262 Fund Flows
Monthly money in and out of AQR Volatility Risk Premium Fund, from SEC Form N-PORT.
- 12-month net flow: −$62K
- 12-month gross sales (incl. reinvestments): $378K
- Sales ÷ redemptions: 0.86×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Sep 2020 | $10K | $0 | $10K |
| Aug 2020 | $2K | $50K | −$48K |
| Jul 2020 | $10K | $97K | −$87K |
| Jun 2020 | $0 | $0 | $0 |
| May 2020 | $13K | $156 | $13K |
| Apr 2020 | $2K | $0 | $2K |
| Mar 2020 | $33K | $52K | −$19K |
| Feb 2020 | $4K | $0 | $4K |
| Jan 2020 | $51K | $130K | −$78K |
| Dec 2019 | $238K | $111K | $127K |
| Nov 2019 | $15K | $0 | $15K |
| Oct 2019 | $0 | $0 | $0 |
C000205262 Assets Under Management
Net assets of AQR Volatility Risk Premium Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2020-09-30 | $11.80M |
| 2020-06-30 | $11.40M |
| 2020-03-31 | $10.34M |
| 2019-12-31 | $12.29M |
| 2019-09-30 | $11.90M |
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.