Benefits of investing in the AQR Wholesale Managed Futures - Class 1P

• Academic research foundation: investment approach is grounded in academic research dating back several decades;

• Experienced management team: AQR senior management has been working together and implementing multi- asset class portfolios since the mid-1990s;

• Trading infrastructure: Ability to minimize transaction costs using proprietary trading algorithms and direct market access;

• Cutting edge research: Ongoing commitment to research and development.

About the Fund

The Fund invests in a diversified portfolio of more than 100 global developed-and emerging-market exchange-traded futures, futures-related instruments, including equity, currency, fixed-income and commodity-linked instruments. The Fund can take long or short positions in any of these instruments and thus seeks to benefit from both rises or falls in the price of the underlying instruments. The universe of investments for the Fund may change under varying conditions and as the instruments evolve over time.

Investment Approach

To pursue its investment objective, the Fund will be actively managed and will primarily invest in a portfolio of futures contracts and derivative instruments across the asset classes of commodities, currencies, fixed income and equities (the "Four Major Asset Classes).  This universe of investments is subject to change under varying market conditions and as these Instruments evolve over time.  

AQR will use proprietary quantitative models which aim to benefit from price trends in equity, fixed income, currency and commodity instruments. AQR generally expects that the Fund will have exposure in long and short positions across all Four Major Asset Classes, but at any one time the Fund may emphasise one or two of the asset classes or a limited number of exposures within an individual asset class. 

How we invest your money

Investment Universe

The Fund's universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, forwards and swaps across four major asset classes (commodities, currencies, fixed income and equities). This universe of investments is subject to change under varying market conditions and as these instruments evolve over time.

Generally these futures contracts and derivatives instruments may include, but are not limited to, index futures, foreign exchange spot transactions, currency futures, currency forwards, commodity futures, swaps on commodity futures, swaps on equity index futures, swaps on equity indices, bond and interest-rate futures, swaps on bonds and interest rates and swaps on bond and interest-rate futures (collectively, the "Instruments).

These Instruments may be traded across global developed and emerging markets. However, there are no geographic limits on the market exposure of the Fund's assets and this flexibility allows AQR to look for investments or gain exposure to asset classes and markets around the world (including emerging markets) that AQR believes will enhance the Fund's ability to seek its objective. The NAV of the Fund will generally be hedged to AUD.

The Fund may also invest in exchange traded funds or exchange traded notes through which the Fund can participate in the performance of one or more Instruments. A significant portion of the assets of the Fund may be invested directly or indirectly in cash or cash equivalent holdings (including, but not limited to, treasury bills, cash trusts and money market instruments and funds, such as bank accounts, broker margin accounts and wholesale managed funds). These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund.

Investment Strategy

The Fund follows an active trend following strategy.

AQR uses a proprietary, systematic and quantitative process which aims to benefit from price trends in equity, fixed income, currency and commodity Instruments. AQR generally expects that the Fund will have exposure in long and short positions across all Four Major Asset Classes (commodities, currencies, fixed income and equities), but at any one time the Fund may emphasise one or two of the asset classes or a limited number of exposures within an asset class. A "long position will benefit from an increase in price of the underlying Instrument, while a "short position will benefit from a decrease in price of the underlying Instrument. Generally, the size of the position taken will relate to factors including AQR's confidence in the trend continuing as well as its estimate of the Instrument's risk.

Implementation

AQR will invest the Fund's portfolio using whatever Instruments are deemed appropriate by AQR. These include, but are not limited to, the Instruments noted above in the general description of the investment strategy. AQR may, at any time, discontinue using any of the above Instruments or may add additional Instruments. There are no material diversification requirements, allocation ranges or limitations or restrictions on the particular categories or the magnitude of the Fund's investments, or on the investment strategies and techniques to be utilised by AQR.

The Fund's portfolio is constructed such that over a market cycle, it is expected to receive roughly equal risk and performance attribution across the Four Major Asset Classes the Fund trades in as well as across individual markets within each asset class. AQR determines the strategic allocations to the long and short positions across the Four Major Asset Classes, which is a function of AQR's estimation of the net of transaction cost consistency of expected profit in each asset class. The portfolio is evaluated daily and, on average, rebalanced daily to allow AQR to react to changing market conditions. Furthermore, AQR may tactically adjust the leverage of the Fund as a whole depending on its forecast of asset class or fund level volatility in order to prevent the Fund from taking too concentrated an investment or taking too much overall risk when the market environment has been poor or cross market correlations have increased. The targeted volatility of the Fund may vary from time to time and can depend on AQR's assessment of investment trends among other factors.

The Fund's strategy will result in frequent portfolio trading and high portfolio turnover.