AQR Systematic Total Return UCITS Fund

Investment Objective

The Fund seeks to achieve an annual total return of cash + 6% while targeting a volatility level between 6%- 10% in most environments and low long-term correlation to traditional asset classes.

The Fund consists of a global, total return portfolio with exposures to traditional asset classes, alternative risk premia and differentiated alpha sources, delivered in a transparent, liquid vehicle. It is actively managed to maintain a moderate risk level and to preserve balanced risk allocations across three of AQR’s core liquid alternative strategies: Risk-Balanced Market Exposures, Multi-Asset Trend and Market-Neutral Security Selection, deployed across multiple asset classes and regions. 

Latest Meeting Note

Meeting Note 16 May 2017

For many allocators looking for diversified alternatives exposure, the three building blocks behind this fund would all make sense in their own right, with trend following, quantitative market neutral, and risk parity all showing themsel...

For many allocators looking for diversified alternatives exposure, the three building blocks behind this fund would all make sense in their own right, with trend following, quantitative market neutral, and risk parity all showing themselves to be valid concepts over the longer term. While we would expect the Sharpe to moderate somewhat over time (AQR’s targeted risk and return would suggest a Sharpe of c. 1 over time vs. 1.2 realised), the fund has all the hallmarks of a core alternative allocation with the track record displaying no correlation to equity markets. The fund launched in UCITS format in February 2017 and has already seen strong traction with investors. Based on its status as a new launch we award the fund a maximum three star rating.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.5 1.0 0.4 0.1 0.6 0.4 0.8 0.4 0.7 0.1 0.6 0.3 0.8
2022 0.7 0.6 0.3 0.2 0.4 0.2 0.7 0.0 0.9 0.4 0.3 0.1 0.5

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