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AQR Style Premia UCITS G EUR

Ranked 1 out of 115 in - Multi Strategy over 3 months
All calculations are in EUR unless stated

Managed by

Andrea Frazzini

Andrea Frazzini is a principal on AQR’s Global Stock Selection team, focusing on research and portfolio management of the firm’s long/short and long-only equity strategies. He is also an adjunct professor of finance at New York University’s Stern School of Business. He has published in top academic journals and won several awards for his research. Prior to AQR, Frazzini was an associate professor of finance at the University of Chicago’s Graduate School of Business and a research associate at the National Bureau of Economic Research. He also served as a consultant for DKR Capital Partners and J.P. Morgan Securities and on the board of directors of the Center for Research in Security Prices at the University of Chicago. He earned a B.S. in economics from the University of Roma Tre, an M.S. in economics from the London School of Economics and a Ph.D. in economics from Yale University.

Jacques Friedman

Jacques A. Friedman is a principal and head of AQR’s Global Stock Selection team. He is involved in all aspects of research, portfolio management and strategy development for the firm’s equity products and strategies. He is also a member of both the firm’s Strategic Planning and Risk Committees. Prior to joining AQR at its inception in 1998, Friedman was with Goldman, Sachs & Co., where he developed quantitative stock-selection strategies within the asset management division. Before joining Goldman, he was pursuing a Ph.D. in applied mathematics at the University of Washington, where his research interests ranged from mathematical physics to quantitative methods for sports handicapping. Friedman earned a B.S. in applied mathematics from Brown University and an M.S. in applied mathematics from the University of Washington.

Ronen Israel

Ronen Israel’s primary focus is on portfolio management and research at AQR. He was instrumental in helping to build AQR’s Global Stock Selection group and its initial algorithmic trading capabilities, and now runs the Global Alternative Premia group, which employs various investing styles across asset classes. He is on the executive board of the University of Pennsylvania’s Jerome Fisher Program in Management and Technology and is a member of the Advisory Board of The Rodney L. White Center for Financial Research, The Wharton School, University of Pennsylvania. Prior to AQR, he was a senior analyst at Quantitative Financial Strategies Inc. Israel earned a B.S. in economics from the Wharton School at the University of Pennsylvania, a B.A.S. in biomedical science from the University of Pennsylvania’s School of Engineering and Applied Science, and an M.A. in mathematics, specialising in mathematical finance, from Columbia.

Michael Katz

Michael Katz is a principal and co-head of the portfolio implementation and implementation research team at AQR. He oversees the implementation of AQR’s products and models. Previously, he oversaw macro, fixed income and inflation research. He is also part of the portfolio management teams for multi-strategy hedge funds, macro and long-only equity products. Prior to AQR, Katz was a teaching fellow and research assistant at Harvard University, a teaching and research assistant at Tel Aviv University and a consultant for Trigger (now Trigger-Foresight). He also served as an intelligence officer in the Israeli Defense Forces, achieving the rank of major. His research has been published in the Financial Analysts Journal and the Review of Financial Studies. Katz earned a B.A. in economics and Middle East history, with honours, from Tel Aviv University, and a Ph.D. and an A.M. in economics from Harvard University.

Objective

The Fund is actively managed and will seek to achieve its Investment Objective by aiming to provide exposure to four separate investment styles (value, momentum, carry, and defensive). The Fund implements the Styles by investing globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, futures, etc. The Fund has also exposure to bonds, including U.S. Government securities and sovereign debt issued by other developed countries in any credit rating, maturity or duration. The Fund as a whole aims to maintain balanced exposure to all four Styles to diversify risk and enhance return.

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Performance

Multi Strategy over : 30/01/2018 - 30/04/2018
  • Rank 1/115 Total Return
  • Rank 115/115 Standard Deviation
  • Rank 51/115 Max Drawdown
Fund Name Currency Return
1 AQR Style Premia UCITS G EUR EUR

36.3%

2 Odey Odyssey EUR Acc EUR

11.4%

3 THEAM Quant FI High Vol I EUR

4.0%

4 Kalahari, FI EUR

3.7%

5 Candriam Global Alpha I EUR

3.5%

Fund Name Currency Risk
111 Okavango Delta A, FI EUR

15.0

112 Veritas Global Real Return EUR A

Currency exposure is hedged

Currency exposure is hedged

EUR

15.2

113 LO Funds - Alternative Risk Premia SH (EUR) NA

Currency exposure is hedged

Currency exposure is hedged

EUR

18.6

114 Robeco QI GTAA Plus D EUR EUR

25.5

115 AQR Style Premia UCITS G EUR EUR

87.2

Fund Name Currency Loss
49 GAM Star Flexible Global Portfolio EUR Acc EUR

-2.3%

50 Cassiopeia UCITS C EUR

Currency exposure is hedged

Currency exposure is hedged

EUR

-2.3%

51 AQR Style Premia UCITS G EUR EUR

-2.4%

52 SSF Liquid Alternative UCITS FoF Class I EUR EUR

-2.4%

53 Barings Dynamic Absolute Return I EUR Hedged Acc

Currency exposure is hedged

Currency exposure is hedged

EUR

-2.4%

53 VF II-Vescore Artif Intelligence Multi Asset B EUR

-2.4%

Total Return

Quarterly Performance

to 31/03/2018 Annual Q1 Q2 Q3 Q4
2018 40.7%
2017 -0.4% 0.7% 2.8%
2016 -0.7% -1.4% -1.0% -1.3% 3.0%
2015 7.7% -2.5% 0.6% 7.5% 2.2%

Month by Month Performance

Returns Vs Risk

Registered For Sale In

  1. Austria
  2. France
  3. Germany
  4. Luxembourg
  5. Switzerland
  6. United Kingdom

Fund Info

  • Launch date01/10/2014
  • Share Class size00Mn
  • Base currencyEUR
  • ISIN LU1103259245

Purchase Info

  • Min. initial investment80Mn
  • Min. regular additional investment0

Charges

  • Annual management1.30%
  • Initial investment0

Performance is for the period shown (month end to month end, bid/bid, gross income reinvested, calculated in the currency and currencies indicated).