QCPNX — AQR Core Plus Bond Fund

Data updated: 2022-02-28

QCPNX — AQR Core Plus Bond Fund. Money Market · $29.39M AUM · 0.74% expense ratio · -4.3% 1-yr return. Holdings, fees, performance and SEC filings.

QCPNX Fund Overview

QCPNX — AQR Core Plus Bond Fund is a US mutual fund managed by AQR Funds, categorised as Money Market. 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: Money Market
  • Assets under management: $29.39M
  • 1-year return: -4.3%
  • Ticker: QCPNX
  • SEC CIK: 0001444822
  • SEC series ID: S000060090
  • Share class ID: C000196723

QCPNX Investment Objective and Strategy

AQR Core Plus Bond Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.

Investment objective

The AQR Core Plus Bond Fund (the Fund) seeks total return. Total return consists of capital appreciation and income.

Principal investment strategy

The Fund seeks to outperform, after expenses, the Bloomberg Barclays U.S. Aggregate Bond Index (the Index) while seeking to control its tracking error relative to this benchmark. The Fund will target a long-term average forecasted tracking error of 1.5% to 2.0% relative to the Index. Actual realized tracking error will vary based on market conditions and other factors. The Fund aims to pursue its investment objective primarily through, although not limited to, maturity selection, corporate issuer selection, country selection, emerging bond selection and currency selection. Any interest rate timing or sector rotation strategies in which the Fund engages are expected to be minimal. Under normal market conditions, the Fund pursues its investment objective by investing at least 80% of its net assets (including borrowings for investment purposes) in bonds and bond related instruments (collectively, Bond Instruments).

Bond Instruments include corporate bonds and notes, inflation-linked bonds and notes, mortgage-backed securities, U.S. Government bonds, as well as foreign and emerging market debt securities and investments that provide exposure to the performance of Bond Instruments, including credit default swaps and credit default swaps on indices, bond futures, interest rate futures, interest rate swaps, forward mortgage-backed securities trading in the to-be-announced (TBA) market and exchange-traded-funds and similar pooled investment vehicles. The Fund may invest in or have exposure to secured or unsecured fixed, variable and floating rate Bond Instruments of any duration or maturity and may engage in short sales. The Fund may also invest in Bond Instruments issued under Rule 144A. In addition to investing in Bond Instruments that are included in, or provide exposure to, issuers in the Index, the Fund may invest in Bond Instruments not included in the Index.

This flexibility allows the Adviser to look for investments or gain exposure to Bond Instruments that it believes will enhance the Funds ability to meet its investment objective. The Funds net exposure to debt rated below investment grade (i.e., high-yield or junk bonds) is limited to 30% of its net assets. The Funds net exposure to foreign currency denominated debt is limited to 30% of the Funds net assets. The Adviser may, but is not required to, utilize foreign currency forwards or futures to generate desired currency exposure for the portfolio and to hedge exposure to foreign currencies. The Fund takes long positions in, or overweights, Bond Instruments and currencies that the Adviser forecasts to be attractive relative to the Index, and may take short positions in, or underweight, Bond Instruments and currencies that the Adviser forecasts to be unattractive relative to the Index.

In evaluating whether Bond Instruments or currencies are attractive or unattractive relative to the Index, the Adviser uses a set of value, momentum, carry, defensive and other economic indicators to generate an investment portfolio based on the Advisers proprietary quantitative security selection and asset allocation models. Value: Value strategies seek to capture the tendency for relatively cheap assets to outperform relatively expensive assets. The Fund will seek to buy or overweight assets that are cheap and sell or underweight those that are expensive. An example of value measures includes selecting Bond Instruments based on spread relative to default probability forecasts. Momentum: Momentum strategies seek to capture the tendency that an assets recent relative performance will continue in the near future.

The Fund will seek to buy or overweight assets that recently outperformed their peers and sell or underweight those that recently underperformed. Examples of momentum measures include selecting Bond Instruments based on price- and yield-based momentum. Carry: An assets carry is its expected return assuming market conditions, including its price, stay the same. Carry strategies seek to capture the tendency for higher-yielding assets to provide higher returns than lower-yielding assets. The Fund will seek to buy or overweight high-yielding assets and sell or underweight low-yielding assets. An example of carry measures includes selecting Bond Instruments based on the level of yield or spread. Defensive: Defensive strategies seek 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 or overweight low-risk, high-quality assets and sell or underweight high-risk, low-quality assets. An example of defensive measures includes selecting Bond Instruments based on issuer leverage. In addition to these 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 portfolio construction process is a bottom up systematic process which begins with the ranking of a universe of investments based upon each applicable indicator within several sub-strategies, including, but not limited to, maturity selection, corporate issuer selection, country selection, emerging bond selection and currency selection.

Investments ranking near the top of the universe contribute the largest long positions or overweights among the universe and investments ranking near the bottom of the universe contribute the largest short positions or underweights among the universe. This results in several sub-strategy portfolios that are then sized to maintain a risk balanced allocation across sub-strategies within the Fund and form the Funds full portfolio. Individual positions are sold or closed out during a rebalancing process, the frequency of which is expected to vary depending on the Advisers ongoing evaluation of certain factors including changes in market conditions, how much the actual portfolio deviates from the target portfolio and estimated transaction costs. The Fund bears the risk that the quantitative models used by the Adviser will not be successful in forecasting movements in industries, sectors, corporate or government entities or in determining the weighting of investment positions that will enable the Fund to achieve its investment objective.

The Funds use of futures contracts, forward contracts, swaps and certain other derivative instruments (Derivative Instruments) will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying a Derivative 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 does not use Derivative Instruments that have a leveraging effect. Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the Funds exposure to an asset class and may cause the Funds NAV to be volatile. For example, if the Adviser seeks to gain enhanced exposure to a specific asset class through a Derivative Instrument providing leveraged exposure to the asset class and that Derivative Instrument increases in value, the gain to the Fund will be magnified; however, if that investment decreases in value, the loss to the Fund will be magnified.

A decline in the Funds assets due to losses magnified by the Derivative 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 Derivative Instruments providing enhanced exposure will enable the Fund to achieve its investment objective. The Fund may take long and short positions in Bond Instruments. A long position in a Bond Instrument will benefit from an increase in the price of the underlying security or instrument. A short position in a Bond Instrument will benefit from a decrease in price of the underlying security or instrument and will lose value if the price of the underlying security or instrument increases.

Simultaneously engaging in long investing and short selling is designed to reduce the net exposure of the overall portfolio to general market movements. A portion of the Funds assets may be held in cash or cash equivalent investments, including, but not limited to, U.S. Government securities, U.S. Government agency securities, short-term investment funds, overnight and/or fixed term repurchase agreements, money market mutual fund shares, and other cash and cash equivalents with one year or less term to maturity. The Fund may also enter into repurchase and reverse repurchase agreements. Under a repurchase agreement the Fund buys securities that the seller has agreed to buy back at a specified time and at a set price. Under a reverse repurchase agreement, the Fund sells securities to another party and agrees to repurchase them at a particular date and price.

Leverage may be created when the Fund enters into reverse repurchase agreements, engages in futures and swap transactions or uses certain other Derivative Instruments. If Derivative Instruments and Bond 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. To attempt to increase its income or total return, the Fund may lend its portfolio securities to certain types of eligible borrowers.

QCPNX Performance

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

PeriodTotal return
1 year-4.3%
3 years (annualised)1.7%

QCPNX Risk Information

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

  • 1-year volatility (annualised): 3.3%

QCPNX Costs and Fees

QCPNX costs about $74 per $10,000 invested per year in fund expenses.

  • Net expense ratio: 0.74%
  • Gross expense ratio: 0.88%
  • Portfolio turnover: 102900%
  • Brokerage commissions: 0.58 bps of average net assets (SEC N-CEN)

QCPNX Cashflows

Over the 12 months to 2021-12, AQR Core Plus Bond Fund had net outflows of $91.03M, from monthly SEC N-PORT filings.

MonthNet flow
2021-12−$562.05K
2021-11−$32.94M
2021-10−$1.15M
2021-09−$789.90K
2021-08−$580.28K
2021-07−$81.09K

QCPNX Debt Constituents

No individual debt constituents are reported in AQR Core Plus Bond Fund's latest SEC N-PORT filing.

QCPNX Prospectus and SEC Filings

Official AQR Core Plus Bond Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Money Market 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.