AQR Global Equity Fund (AQGIX)
The fund seeks to outperform, after expenses, the MSCI World Index while seeking to control its tracking error relative to this benchmark. Generally, it will invest at least 80% of its net assets (including any borrowings for investment purposes) in equity and equity-related instruments (including, but not limited to, exchange-traded funds, equity index futures, equity index swaps, swaps on equity index futures, depositary receipts and real estate investment trusts or securities with similar characteristics). The fund will invest in companies with a broad range of market capitalizations.
Fund Info
| ISIN | US00203H8759 |
|---|---|
| CUSIP | 00203H875 |
| Issuer | AQR Funds |
| Inception Date | Dec 30, 2009 |
| Category | Global Equities |
| Minimum Investment | $5,000,000 |
| Asset Class | Equity |
Asset Class Size | Large-Cap |
Asset Class Style | Value |
Expense Ratio
The AQR Global Equity Fund has a high expense ratio of 0.80%, indicating higher-than-average management fees.
Share Price Chart
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Performance
The chart shows the growth of an initial investment of $10,000 in AQR Global Equity Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Compare to other instruments
Return
AQR Global Equity Fund had a return of 6.19% year-to-date (YTD) and -1.24% in the last 12 months. Over the past 10 years, AQR Global Equity Fund had an annualized return of 6.68%, while the S&P 500 had an annualized return of 9.92%, indicating that AQR Global Equity Fund did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | 0.46% | 2.46% |
| Year-To-Date | 6.19% | 9.94% |
| 6 months | 1.50% | 3.54% |
| 1 year | -1.24% | 2.92% |
| 5 years (annualized) | 3.94% | 9.08% |
| 10 years (annualized) | 6.68% | 9.92% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 8.98% | -2.67% | -0.11% | 1.37% | -2.60% | |||||||
| 2022 | 6.61% | -4.73% |
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund (AQGIX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AQGIX AQR Global Equity Fund | -0.09 | ||||
^GSPC S&P 500 | 0.10 |
Dividend History
AQR Global Equity Fund granted a 4.13% dividend yield in the last twelve months. The annual payout for that period amounted to $0.36 per share.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.36 | $0.36 | $1.22 | $0.11 | $0.12 | $0.34 | $0.45 | $0.77 | $0.12 | $1.00 | $5.71 | $0.52 |
Dividend yield | 4.13% | 4.39% | 12.70% | 1.37% | 1.67% | 5.68% | 6.36% | 13.69% | 2.19% | 18.43% | 108.99% | 12.83% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Global Equity Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.36 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.22 |
| 2020 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 |
| 2019 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.12 |
| 2018 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.34 |
| 2017 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.45 |
| 2016 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.77 |
| 2015 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 | $0.01 |
| 2014 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.00 |
| 2013 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $5.71 |
| 2012 | $0.52 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the AQR Global Equity Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the AQR Global Equity Fund is 35.47%, recorded on Mar 23, 2020. It took 166 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.47% | Feb 13, 2020 | 27 | Mar 23, 2020 | 166 | Nov 16, 2020 | 193 |
| -25.86% | May 3, 2011 | 107 | Oct 3, 2011 | 305 | Dec 20, 2012 | 412 |
| -23.3% | Jan 13, 2022 | 180 | Sep 30, 2022 | — | — | — |
| -22.63% | Jan 29, 2018 | 228 | Dec 21, 2018 | 286 | Feb 12, 2020 | 514 |
| -21.12% | Apr 29, 2015 | 200 | Feb 11, 2016 | 240 | Jan 25, 2017 | 440 |
Volatility Chart
The current AQR Global Equity Fund volatility is 4.31%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.