AQR Delphi Long-Short Equity Strategy
Systematically focused on stocks with lower statistical and fundamental risk
As quantitative investors, we look for a systematic way to create consistent and repeatable returns.
Using proprietary investment research to identify stocks across global, developed large and small cap equity markets, the strategy aims to outperform global equity markets while providing a highly diversifying source of returns.
To achieve this, we strive to buy the stocks of companies with lower sensitivity to market moves and with high quality businesses. When choosing these stocks, we also consider their price relative to fundamentals to try and avoid overpaying for “expensive” companies. We tend to short stocks with the opposite characteristics – those that have a higher sensitivity to market moves and represent lower quality businesses.
This combination of long/short investing results in a defensive approach, making the Sustainable Delphi Long-Short Equity Strategy unique in that it is uncorrelated to the most commonly held exposures of existing equity managers.
We look for stocks that exhibit three characteristics: low statistical risk (low beta), low fundamental risk (quality) and value:
There is significant empirical evidence that higher statistical risk can lead to lower risk adjusted returns.
U.S. Equities (Betting Against Beta)
January 1926 - December 2018
A summary of investor rights is available above in the Documents section of the website and is available in English.
Investment in any of the funds described on this website carries substantial risk, including the possible loss of principal. There is no guarantee that the investment objectives of the funds will be achieved and returns may vary significantly over time. Investment in the funds described on this website is not suitable for all investors. Not all funds or share classes are available to all investors.
Fund offering documents contain risk warnings that are specific to each fund. Investors should only invest in a fund once they have thoroughly reviewed the prospectus and Key Investor Information Document (“KIID”) for the fund and carefully considered the relevant investment objectives, risks, charges and fees. Investors may wish to consult an independent financial advisor for personal and specific investment advice before investing.
The Fund is a sub-fund of AQR UCITS Funds, a Luxembourg based UCITS of which the management company is FundRock Management Company S.A.
The information contained on this website is for informational purposes only and does not constitute an offer or invitation to buy, sell or otherwise transact in any security. The information on this site is directed only at persons or entities in any jurisdiction or country where such access to information contained on this website and use of such information is not contrary to local law or regulation. Accordingly, all persons who access this website are required to inform themselves of and to comply with any such restrictions. The prospectus, KIID and the latest periodic reports for each fund are available free of charge.
Please note that the management company may decide to terminate the arrangements made for the marketing of the Fund in any country where it has been registered for marketing.
Past performance does not predict future returns.
Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.
The MSCI China A Net Total Return USD Index captures large and mid-cap representation across China securities listed on the Shanghai and Shenzhen exchanges. The index covers only those securities that are accessible through "Stock Connect". The index is designed for international investors and is calculated using China A Stock Connect listings based on the offshore RMB exchange rate (CNH).
The ICE BofAML 3-Month U.S. Treasury Bill Index tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months.
The MSCI World 100% Hedged to USD NETR Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI World Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 23 Developed Markets (DM) countries and its local performance is calculated in 13 different currencies, including the Euro.
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Euro Short-Term Rate (€STR) is an interest rate benchmark that reflects the overnight borrowing costs of banks within the eurozone.
Sterling Overnight Index Average (SONIA) is the effective overnight interest rate paid by banks for unsecured transactions in the British sterling market.
Swiss Average Rate Overnight index (SARON) represents the overnight interest rate of the secured money market for Swiss francs.
MAS is the Monetary Authority of Singapore Benchmark Govt Bill Yield 3 Month Index.
HKMA is the Hong Kong Monetary Authority Hong Kong Exchange Fund Bills Fixings 3 Month Yield Index.
This document is a marketing document in the European Economic Area (“EEA”) and approved as a Financial Promotion in the United Kingdom (“UK”). It is only intended for Professional Clients.
The fees and charges paid by the Fund will reduce the return on your investment. Certain costs paid by the Fund will be charged in USD and exchange rate fluctuations may cause these costs to increase or decrease when converted into your local currency.
AQR is entitled to receive a performance fee in relation to certain share classes of the Fund. Please refer to the prospectus to check if a performance fee is charged on your shares and for further detail of the performance fee calculation method. Where charged, the performance fee is calculated in respect of each twelve-month period ending on 31 March of each year. The performance fee calculation methodology incorporates a loss carry forward mechanism, meaning that where a share class has underperformed its hurdle specified in the prospectus in a past calculation period or periods, no performance fee will be charged for the current calculation period unless that underperformance is caught up. The performance fee amounts to 15% of any increase in value of the share class above the relevant hurdle. The performance fee is crystallised annually on 31 March, or the date when shares are redeemed. Generally, the performance fee is paid to the AQR within 14 business days of the month end in which crystallisation occurs. You should note that a performance fee may be charged even for periods when the Fund’s performance is negative.
Information for clients in the United Kingdom
The information set forth herein has been prepared and issued by AQR Capital Management (Europe) LLP, a UK limited liability partnership with its office at Charles House 5-11, Regent St., London, SW1Y 4LR, which is authorised and regulated by the UK Financial Conduct Authority (“FCA”).
Information for clients in the EEA
AQR in the European Economic Area is AQR Capital Management (Germany) GmbH, a German limited liability company (Gesellschaft mit beschränkter Haftung; “GmbH”), with registered offices at Maximilianstrasse 13, 80539 Munich, authorized and regulated by the German Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht, „BaFin“), with offices at Marie-Curie-Str. 24-28, 60439, Frankfurt am Main und Graurheindorfer Str. 108, 53117 Bonn, to provide the services of investment advice (Anlageberatung) and investment broking (Anlagevermittlung) pursuant to the German Securities Institutions Act (Wertpapierinstitutsgesetz; “WpIG”). The Complaint Handling Procedure for clients and prospective clients of AQR in the European Economic Area can be found here: https://ucits.aqr.com/Legal-and-Regulatory.