AQR Managed Futures Strategy Fund 6/30/2022

Performance as of 6/30/2022 About the Fund

Annualized Total Return Investment Objective:

Inception Since Seeks positive absolute returns.
Date QTD YTD 1 Yr 3 Yr 5 Yr 10 Yr Inception

Class I Shares: AQMIX 1/5/2010 11.41% 31.82% 28.62% 8.99% 4.82% 3.28% 2.50%
Reasons to Invest:
Class N Shares: AQMNX 1/5/2010 11.38% 31.81% 28.59% 8.73% 4.56% 3.02% 2.24%
Class R6 Shares: AQMRX 9/2/2014 11.38% 31.91% 28.86% 9.09% 4.93% 0.00% 3.09% Access to Alternative Investment
Strategies
ICE BofAML US 3M T-Bill 1/5/2010 0.10% 0.14% 0.17% 0.63% 1.11% 0.64% 0.53%
The Fund delivers an active long/
SG Trend Index 1/5/2010 9.89% 29.33% 31.37% 15.09% 10.30% 5.62% 4.55%
short Managed Futures strategy in
The performance data quoted represents past performance. Past performance does not guarantee future results. Investment a mutual fund vehicle.
returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less
Portfolio Diversification
than their original cost. Current performance may be lower or higher than the performance data quoted. Call 1-866-290-2688 or
Managed Futures strategies seek to
visit www.aqrfunds.com for current month-end performance. Indexes are unmanaged and one cannot invest directly in an index.
generate returns that are
uncorrelated to traditional asset
classes on average, and can
increase a portfolio’s
diversification.

Top Active Positions by Asset Class (%)*

Potential Advantages:
% of Risk Allocation % of Risk Allocation
Academic Research Foundation
Commodities Equities Investment approach is grounded
RBOB Gasoline Future (Long) 2.3% Swiss Market Index Future Swap (Short) 1.6% in academic research dating back
Heating Oil ULSD Future (Long) 2.2% Bovespa Index Future (Short) 1.4%
several decades.
Gas Oil Future (Long) 1.6% SPI 200 Index Future (Short) 1.4%
Experienced Management Team
Currencies Fixed Income AQR senior management has been
JPY vs USD (Short) 12.0% Canada 10 Yr Bond Future (Short) 1.7% working together and
EUR vs USD (Short) 5.5% U.S. Ultra Long Bond Future (Short) 1.5% implementing futures based
CAD vs USD (Long) 3.2% Eurodollar Future (Short) 1.4% strategies since the mid-1990s.

Number Of Long Holdings: 22 Number of Short Holdings: 79 Number Of Currency Pairs: 0 Trading Infrastructure
Customized liquidity-providing
algorithms seeking to minimize
Asset Class Exposure (%)* Portfolio Statistics (%)*
transaction costs.
% of Risk Allocation Realized Beta Since Inception to S&P 500 -0.02
Commodities 11.5% Realized Beta Since Inception to BarCap Agg 0.24 Cutting Edge Research
Currencies 26.0% Realized Since Inception Volatility 9.61% Ongoing commitment to research
Equities 33.8% Realized Since Inception Sharpe Ratio 0.21 and development.
Fixed Income 28.7% Total Fund Assets ($MM) 1,524

For these purposes, position risk allocations are calculated by dividing estimated position volatility by the sum of all position volatilities. Sector
risk allocations are calculated by dividing estimated sector volatility by the sum of all sector volatilities. Volatilities and betas are calculated
using three-day overlapping returns.

*Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities.

S&P 500 Index: An index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed
to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. BarCap Aggregate
Bond Index: a broad-based index which is often used to represent investment grade bonds being traded in the U.S.

Fund Facts
Inception Investment Gross Net Expense
Ticker CUSIP Date Minimum* 12b-1 Fee Expense Ratio Ratio**
Class I Shares AQMIX 00203H859 1/5/10 $5 Million None 1.25% 1.25%
Class N Shares AQMNX 00203H842 1/5/10 $1 Million 0.25% 1.48% 1.48%
Class R6 Shares AQMRX 00191K609 9/2/14 $50 Million None 1.16% 1.16%
*Investment minimums are waived or reduced for certain investors. Some financial intermediaries may not offer Class R6 Shares or may
impose different or additional eligibility and minimum investment requirements. See the Prospectus for additional details.
**The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2024.
 www.aqrfunds.com

Investment Approach Fund Managers

The Fund invests in a portfolio of futures contracts, futures-related instruments, forwards and swaps [1],
utilizing more than 100
contracts across four major asset classes: commodities, currencies, fixed income and equities. The Fund can take long or short
positions in any of these instruments, and thus seeks to benefit both if the price of the underlying instrument rises or falls.

Trading Strategies Trading and Risk Control

The Adviser employs a number of techniques to effectively Clifford S. Asness, Ph.D.
The Adviser seeks to establish long or short positions based on trade its investments and to monitor risk: Managing & Founding Principal,
a combination of several trading strategies described below. AQR
These trading strategies take advantage of behavioral biases Trading Cost Management
Ph.D., M.B.A., University of Chicago
and actions of non-profit-seeking market participants, such as The Fund employs proprietary portfolio optimization
central banks. They specifically take advantage of under- techniques to reduce the costs of trading. Trading is B.S., B.S., University of Pennsylvania
reaction, which allows the Fund to enter a long or short performed by a 24 hour global trading team with extensive
position before news and information is fully reflected in asset expertise in trading many asset classes. The fund employs
prices. Additionally, the trading strategies can also benefit proprietary electronic order placement algorithms to
from over-reaction, as several behavioral biases, such as minimize the market impact of trades.
herding, can cause asset prices to overshoot their fundamental Risk Management
value. The Adviser pursues trends in both traditional and Risk management is embedded in the portfolio construction
alternative markets. process, allowing the Fund to target a more consistent
level of risk through time. Jordan Brooks, Ph.D.
Price Trends Principal, AQR
Price trends use an asset’s own price history to take a long or
short position depending on trailing performance over both B.A., Boston College
short-term and long-term horizons. These signals take Ph.D., M.A., New York University
advantage of market participants’ behavioral biases and
tactically enter and exit positions with varying conviction levels
depending on the magnitude of price-moves in each horizon, as
well as alignment across the different trend horizons.
[1 Futures-related instruments, forwards and swaps include, but
are not limited to, commodity futures, forwards and swaps;
Economic Trends
currencies, currency futures and forwards and virtual currency
Economic trends also take advantage of behavioral biases, but futures; equities, equity index futures, equity swaps and
follow trends in economic data. As markets have a tendency to volatility futures; bond futures and swaps; interest rate futures John Liew, Ph.D.
underact to news, signals based on relevant data can offer an and swaps and credit default index swaps.
innovative approach to identifying price trends in markets. Founding Principal, AQR
These signals formulate views based on key economic themes Ph.D., M.B.A., University of Chicago
such as growth, inflation, monetary policy, international trade B.A., University of Chicago
and sentiment.

Yao Hua Ooi

Principal, AQR
B.S., B.S., University of Pennsylvania
Definitions:
Realized Beta of Fund to Index: A measure of the amount the fund has tended to move given a move in the specified Index, using
three-day overlapping returns. A beta of 1 indicates that if the index has moved 10% over a three-day period, the fund has tended
to move, on average, 10% over the same period. A beta of more than 1 indicates the fund has tended to move, on average, more
than 10% in that case, and a beta of less than one indicates the fund has tended to move less than 10% in that case.
Realized Sharpe Ratio: a ratio which measures risk-adjusted performance.
Realized Volatility: the standard deviation of the compounded returns of a financial instrument within a specific time horizon.
Erik Stamelos
Managing Director, AQR
A.B., Harvard University
PRINCIPAL RISKS:

The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased
volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs.
Concentration generally will lead to greater price volatility. This Fund takes short positions in derivative instruments. A short
position in a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument,
which could cause the Fund to suffer a (potentially unlimited) loss. Short sales also involve transaction and other costs that will
reduce potential Fund gains and increase potential Fund losses. Risk allocation and attribution are based on estimated data, and
may be subject to change. Ashwin Thapar
Principal, AQR
An investor considering the Fund should be able to tolerate potentially wide price fluctuations. The Fund is subject to high portfolio
B.A, B.S., University of Pennsylvania
turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, which may reduce
performance, and may cause a higher level of tax liability to shareholders in the Fund.

The Fund is not suitable for all investors. There are risks involved with investing including the possible loss of principal. Past performance
does not guarantee future results. Diversification does not eliminate the risk of experiencing investment losses. This document is
intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any AQR Capital Management, LLC
other person without AQR’s written consent.
Individual Investor:
The ICE Bank of America Merrill Lynch 3-Month Treasury Bill Index consists of U.S. Treasury Bills maturing in 90 days. The SG Trend p: +1.866.290.2688
Index, a subset of the SG CTA Index, follows traders of trend following methodologies e: [email protected]
Please refer to the prospectus or summary prospectus for complete information regarding all risks associated with the fund. An Advisor Support:
investor should consider the investment objectives, risks, charges and expenses of the fund carefully before investing. To obtain a
p: +1.203.742.3800
prospectus or summary prospectus containing this and other information, please call 1-866-290-2688 or download the file from
www.aqrfunds.com. Read the prospectus carefully before you invest. There is no assurance the stated objectives will be met. e: [email protected]
© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a
federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management. [AQR008994]

Not FDIC Insured – No Bank Guarantee – May Lose Value