Fact sheet: AQR Gbl Rsk Prt UCTS

Fund information
Fund name
AQR Global Risk Parity UCITS C1
Fund manager company
FundRock Management Company S.
Fund type
Offshore Fund
Fund managers
  • Yao Hua Ooisince 29/08/2012
  • Brian K. Hurstsince 29/08/2012
  • John Liewsince 29/08/2012
  • Michael A. Mendelsonsince 29/08/2012
Fund objective
The Fund seeks efficiently to deliver exposure to a broadly diversified set of global risk and targets less risk in stocks than in a traditional portfolio, more in everything else. It maintain attractive liquidity characteristics and generate excess returns from a risk-diversified portfolio of asset exposures.
Benchmark
  • No Specified Index
Investment style
Flexible
Investment method
None
Quick stats
1 Year return
7.2%
1 Year rank in sector
29/151
Sector
FO Mixed Asset - Flexible
Yield
-
Fund size
£704m
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
50
Top in this sector
Fund name1 Year
Aria Absolut Inc Prtd UCITs23.2%
HSBC Pfl World Seltn 421.8%
Northstar Mgd Stg19.1%
Oasis Crescent Global Inc19%
Investec EmrgMktsMA18.9%
...more in FO Mixed Asset - Flexible

Performance snapshot

Holdings snapshot

  • No data available.
  • No data available.
  • Fixed Interest97.2%
    Global Index Linked41.2%
    International Equities33.2%
    Commodity & Energy25.2%

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-0.4%-2.7%-0.1%7.2%7.6%-
Sector-0.1%-1.6%1.5%0.9%8%22%
Rank within sector99 / 165115 / 167112 / 16129 / 15160 / 107-
Quartile3rd3rd3rd1st3rd
Calendar performance
 YTD - 20162015201420132012
Fund8.5%-9.5%9.4%-2%-
Sector1.6%-0.1%5%6.8%6.9%
Rank within sector24 / 151122 / 12722 / 11089 / 96-
Quartile1st4th1st4th
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-0.29
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
0.97
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-0
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
7.65
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
5.97
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-0.09
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
0.4
Price movement
52 week high110.93
52 week low95.17
Current bid price-
Current offer price-
Current mid price106.41
Region
No data available.
Industry sector
No data available.
Asset type
1Fixed Interest97.15%
2Global Index Linked41.19%
3International Equities33.18%
4Commodity & Energy25.15%
Individual holdings
1TII 0.125 04/15/207.32%
2TII 0.125 04/15/196.61%
3TII 0.375 07/15/253.69%
4TII 0.250 01/15/253.4%
5UKTI 0.125 03/22/243.26%
6UKTI 0.125 03/22/262.6%
7TII 0.125 07/15/242.56%
8DBRI 0.100 04/15/262.52%
9DBRI 1.750 04/15/201.98%
Management
Fund manager group
RBS
Fund manager company
FundRock Management Company S.
Fund type
Offshore Fund
Fund objective
The Fund seeks efficiently to deliver exposure to a broadly diversified set of global risk and targets less risk in stocks than in a traditional portfolio, more in everything else. It maintain attractive liquidity characteristics and generate excess returns from a risk-diversified portfolio of asset exposures.
Benchmark
  • No Specified Index
Investment style
Flexible
Investment method
None
Fund managers
NameSinceBiography
Yao Hua Ooi29/08/2012Yao Hua is a Principal on AQR’s Global Asset Allocation team, focusing on research and portfolio management of macro-related strategies that include commodities, risk parity and managed futures. His research has been published in the Journal of Financial Economics and the Journal of Investment Management. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures, and shared the 2013 Whitebox Prize for his work on time series momentum. Yao Hua is an alumnus of the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, where he earned a B.S. in economics and a B.S. in engineering, graduating summa cum laude in both.
Brian K. Hurst29/08/2012Brian is a portfolio manager for two of AQR’s macro strategies: managed futures and risk parity. He has more than 20 years of experience managing money for institutional investors in both traditional and alternative investment strategies, and has been at AQR since its founding. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures. Before AQR, Brian was an original member of the quantitative research group in the Asset Management division of Goldman, Sachs & Co. He began his career as a sell-side investment banking analyst at Donaldson, Lufkin & Jenrette. Brian earned a B.S. in economics from the Wharton School at the University of Pennsylvania.
John Liew29/08/2012John is a Founder and the head of the Global Asset Allocation team at AQR, where he oversees the research, portfolio management and trading associated with that strategy. Prior to AQR, he worked at Goldman, Sachs & Co. as a portfolio manager in the Asset Management Division where he developed and managed quantitative trading strategies. He began his career at Trout Trading, developing quantitative market-neutral stock-selection strategies. John has published articles in The Journal of Portfolio Management and Financial Analysts Journal, and has received the Bernstein Fabozzi/Jacobs Levy award and the Graham and Dodd award for his articles. John is a member of the University of Chicago’s Board of Trustees and sits on the university’s investment committee. He earned a B.A. in economics from the University of Chicago, where he was elected a member of Phi Beta Kappa, and went on to earn an M.B.A. and a Ph.D. in finance, also from Chicago.
Michael A. Mendelson29/08/2012
Compliance
Transparent for Austrian Tax, Reporting Fund Status, UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Germany, Denmark, Finland, France, United Kingdom, Ireland, Iceland, Italy, Luxembourg, Netherlands, Norway, Offshore, Sweden
AQR Global Risk Parity UCITS A1
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price106.19
CurrencyUSD
Price updated05/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXR
AQR Global Risk Parity UCITS B1
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price105.04
CurrencyEUR
Price updated05/12/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeFVXS
AQR Global Risk Parity UCITS C1
Initial charge-
Annual charge0.4%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price106.41
CurrencyGBP
Price updated05/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFRXD
AQR Global Risk Parity UCITS C2
Initial charge-
Annual charge0.35%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price106.65
CurrencyGBP
Price updated05/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFRXE
AQR Global Risk Parity UCITS C3
Initial charge-
Annual charge0.32%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price106.72
CurrencyGBP
Price updated05/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFRXF
AQR Global Risk Parity UCITS F
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price102.48
CurrencyEUR
Price updated05/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXU
Data provided by

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