AQR Multi-Asset Fund - AQRIX (2024)

The AQR Multi-Asset Fund is built around diversified risk-balanced exposures to Equity Risk, Interest Rate Risk and Inflation Risk. This approach seeks to avoid excessive risk exposure to any single asset class and to maintain diversification throughout time.

The Fund invests globally across stocks, bonds, currencies and commodities, allocating smaller amounts of capital to assets that are forecasted to be more volatile and larger amounts to assets that are forecasted to be less volatile, in order to maintain diversification, target a consistent level of risk through time, and allow each risk category to contribute meaningully to the Fund.

Around these strategic risk allocations, the Fund seeks to add return by taking relative-value positions within each asset class, overweighting individual assets that are more attractive and underweighting (or, to a limited extent, shorting) those that we find less attractive. In addition, the Fund takes active directional positions on assets, resulting in tactical tilts that over or underweight individual assets and therefore asset classes.

By allocating risks in a balanced manner, adapting to market conditions and employing active security selection and asset allocation, the Fund is designed to generate attractive long-term risk-adjusted returns independent of the macroeconomic environment. Traditional multi-asset class portfolios that allocate by capital (e.g. 60% stocks and 40% bonds), tend not to be risk managed throughout time and are reliant on strong economic growth environments in order to generate returns.

In pursuing this approach, the AQR Multi-Asset Fund may employ leverage and shorting, which we believe allows us to better manage risk, to more fully express our active views and to have the potential to provide more attractive total returns over the long-term.

All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities.Please see disclosure section for a glossary of industry terms.

Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.

AQR Multi-Asset Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.

The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2024. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.

60/40 Portfolio benchmark consists of 60% S&P 500 Index / 40% Barclays Capital Aggregate Bond Index. The S&P 500 Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry grouping, and is meant to reflect the risk/return characteristics of the large cap universe. The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market.

AQR Multi-Asset Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.