QSSRX — AQR TM Small Cap Multi-Style Fund
Data updated: 2021-02-24
QSSRX — AQR TM Small Cap Multi-Style Fund. United States Small Cap Blend / Core Equity · $22.68M AUM. Holdings, fees, performance and SEC filings.
QSSRX Fund Overview
QSSRX — AQR TM Small Cap Multi-Style Fund is a US mutual fund managed by AQR Funds, categorised as United States Small 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 Small Cap Blend / Core Equity
- Assets under management: $22.68M
- 1-year return: 15.2%
- Ticker: QSSRX
- SEC CIK: 0001444822
- SEC series ID: S000048053
- Share class ID: C000151786
QSSRX Investment Objective and Strategy
AQR TM Small Cap Multi-Style Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.
Investment objective
The AQR TM Small Cap Multi-Style Fund (the “Fund”) seeks long-term after-tax capital appreciation.
Principal investment strategy
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 or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures, equity index swaps and depositary receipts) of small-cap companies. The TM in the Funds name reflects that the Fund employs a tax management strategy which considers the potential impact of federal income tax on shareholders investment return. The Fund combines multiple investment styles, primarily including value, momentum and quality, using an integrated approach. In managing the Fund, the Adviser seeks to invest in attractively valued companies with positive momentum and a stable business. Companies are considered to be good value investments if they appear cheap based on multiple fundamental measures, including price-to-book and price-to-earnings ratios relative to other securities in its relevant universe at the time of purchase.
In assessing positive momentum, the Adviser favors securities with strong medium-term performance relative to other securities in its relevant universe at the time of purchase. Further, the Adviser favors stable companies in good business health, including those with strong profitability and stable earnings. The Adviser may add to or modify the economic factors employed in selecting securities. There is no guarantee that the Funds objective will be met. The Fund generally invests in small-cap U.S. companies, which the Adviser generally considers to be those companies with market capitalizations within the range of the Russell 2000 Index at the time of purchase. The Adviser determines the weight of each security in the portfolio using a combination of its assessment of the liquidity of the security, the attractiveness of the security based on each factor described above and additional criteria that form part of the Advisers security selection process.
The Adviser utilizes portfolio optimization techniques to determine trading activity, taking into account the transaction costs and adverse tax consequences associated with trading each equity instrument. When selecting securities for the portfolio, the Adviser also employs a tax management strategy which considers the potential impact of federal income tax on shareholders investment return. This tax management strategy is generally designed so investors receive lower distributions of realized capital gains than funds that do not take tax consequences into account. Investors should not expect that there will be no capital gain distributions, however, as the Fund will balance investment considerations with tax consequences in making investment decisions. The techniques and strategies that may be used to attempt to reduce the impact of federal income tax on shareholders investment returns include: when believed by the Adviser to be appropriate, selling stocks to realize losses, with the specific purpose of offsetting gains; deferring realizations of net capital gains; limiting portfolio turnover that may result in taxable gains; and choosing a tax accounting method that reduces tax liability: for example, using the highest-in, first-out (HIFO) method which sells tax lots of securities that have a higher tax basis before selling tax lots of securities that have a lower tax basis.
The Fund invests significantly in common stocks. The Fund may also invest in or use financial futures contracts and other types of equity-linked derivative instruments such as equity swaps and equity index swaps, 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. To attempt to increase its income or total return, the Fund may lend its portfolio securities to certain types of eligible borrowers.
QSSRX Performance
Total returns for QSSRX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 15.2% |
QSSRX Risk Information
Risk metrics for QSSRX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 36.1%
QSSRX Costs and Fees
QSSRX costs about $55 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.55%
- Gross expense ratio: 1.20%
- Portfolio turnover: 55%
- Brokerage commissions: 0.83 bps of average net assets (SEC N-CEN)
QSSRX Cashflows
Over the 12 months to 2020-12, AQR TM Small Cap Multi-Style Fund had net outflows of $4.76M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-12 | −$113.41K |
| 2020-11 | $53.50K |
| 2020-10 | −$256.02K |
| 2020-09 | $258.30K |
| 2020-08 | −$191.28K |
| 2020-07 | −$505.54K |
QSSRX Debt Constituents
No individual debt constituents are reported in AQR TM Small Cap Multi-Style Fund's latest SEC N-PORT filing.
QSSRX Prospectus and SEC Filings
Official AQR TM Small Cap Multi-Style Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2021-01-28
- Prospectus (485BPOS) — filed 2020-02-19
- Prospectus (485BPOS) — filed 2019-02-19
- Portfolio holdings (N-PORT) — filed 2021-02-24
- Portfolio holdings (N-PORT) — filed 2020-11-20
- Portfolio holdings (N-PORT) — filed 2020-08-28
- Annual census (N-CEN) — filed 2020-12-11
- Annual census (N-CEN) — filed 2019-12-16
Related Funds
Other United States Small Cap 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.