Fact sheet: AQR Gbl Rsk Prt UCTS

Fund information

Fund name
AQR Global Risk Parity UCITS C1
Fund company manager
FundRock Management Company S.
Fund type
SIB
Fund manager(s)
Brian K. Hurst
since 30/08/2012
Michael A. Mendelson
since 30/08/2012
John Liew
since 30/08/2012
Yao Hua Ooi
since 30/08/2012
Fund objective
The fund seeks Efficiently deliver exposure to a broadly diversified set of global risk premia Targets less risk in stocks than in a traditional portfolio, more in everything else Maintain attractive liquidity characteristics 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

9.91 %

1 Year rank in sector

48/167

Sector

FO Mixed Asset - Flexible

Yield
-
Fund size

£ 1.5 b

FE Risk score

60

NAV
-
Discount/Premium
-
Gearing
-

Top in sector

Holdings snapshot

  • Americas
    44.4%
  • Europe
    29.05%
  • Others
    15.35%
  • Asia
    7.47%
  • Asia Pacific ex Japan
    2.9%
  • Financials
    40.63%
  • Government Bonds
    39.77%
  • Others
    17.72%
  • Technology
    1.22%
  • Non-Cyclical Consumer Goods
    0.66%
  • Global Developed Market Fixed Interest
    50.81%
  • Commodity & Energy
    15.29%
  • Global Index Linked
    15.29%
  • Global Developed Equities
    13.64%
  • Global Emerging Market Equities
    3.31%

Performance vs. Sector

Cumulative performance

1m6m1y3y5y
Fund0.47 %5.15 %9.91 %7.76 %15.65 %
Sector0.75 %2.38 %7.64 %12.98 %24.47 %
Rank within sector126 / 18132 / 17648 / 16783 / 11364 / 81
Quartile th3 rd1 st2 nd3 rd4 th

Calendar performance

YTD-20172016201520142013
Fund8.09 %10.23 %-9.47 %9.39 %-2.02 %
Sector7.37 %3.43 %-0.06 %4.97 %6.79 %
Rank within sector70 / 16821 / 139111 / 11617 / 9778 / 83
Quartile th2 nd1 st4 th1 st4 th

Risk statistics

Alpha-1.25
Beta0.94
Sharpe-0
Volatility6.88
Tracking error5.29
Information ratio-0.3
R-Squared0.41

Price movement

52 week high118.4
52 week low106.38
Current bid price0
Current offer price0
Current mid price116.82

Holdings by region

  • 44.4% Americas
  • 29.05% Europe
  • 15.35% Others
  • 7.47% Asia
  • 2.9% Asia Pacific ex Japan
  • 0.83% Japan

Holdings by sector

  • 40.63% Financials
  • 39.77% Government Bonds
  • 17.72% Others
  • 1.22% Technology
  • 0.66% Non-Cyclical Consumer Goods

Holdings by asset type

  • 50.81% Global Developed Market Fixed Interest
  • 15.29% Commodity & Energy
  • 15.29% Global Index Linked
  • 13.64% Global Developed Equities
  • 3.31% Global Emerging Market Equities
  • 0.83% US Mid Cap Equities
  • 0.83% US Small Cap Equities

Individual holdings

  • 6.78% UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 15/04/2021
  • 5.97% UNITED STATES TREASURY INFLATION INDEXED BONDS 0.125% 15/04/2020
  • 3.52% HM TREASURY UNITED KINGDOM DMO 0.125% IDX GILT 22/03/24 GBP0.01
  • 3.51% UNITED STATES OF AMER TREAS BILLS 0.125% BDS 15/07/26 USD100
  • 3.31% UNITED STATES OF AMER TREAS NOTES 0.625% NTS 15/01/26 USD100
  • 2.74% HM TREASURY UNITED KINGDOM DMO 0.125% IDX LKD GILT 22/03/26 GBP0.01
  • 2.62% DEUTSCHE BUNDESREPUBLIK INFLATION LINKED BOND 0.100% 15/04/2026
  • 2.49% UNITED STATES OF AMER TREAS NOTES 0.375% TB 15/07/25 USD1000
  • 2.01% GERMANY(FEDERAL REPUBLIC OF) 0.1% BDS 15/04/23 EUR0.01
  • 1.5% FRENCH REPUBLIC GOVERNMENT BOND OAT 0.100% 01/03/2025