The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC (“AQR”), its affiliates or its employees. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. Past performance is not a guarantee of future performance.

This material is not research and should not be treated as research, and does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein. It should not be assumed that the author or AQR will make investment recommendations in the future that are consistent with the views expressed herein, or use any or all of the techniques or methods of analysis described herein in managing client accounts. AQR and its affiliates may have positions (long or short) or engage in securities transactions that are not consistent with the information and views expressed in this document.



The information contained herein is only as current as of the date indicated and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision.

There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially and should not be relied upon as such. This material should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy.

The information in this document may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and they may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons. Performance of all cited indices is calculated on a total return basis with dividends reinvested.



INVESTMENT IN ANY OF THE STRATEGIES DESCRIBED HEREIN CARRIES SUBSTANTIAL RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THERE IS NO GUARANTEE THAT THE INVESTMENT OBJECTIVES OF THE STRATEGIES WILL BE ACHIEVED, AND RETURNS MAY VARY SIGNIFICANTLY OVER TIME. INVESTMENT IN THE STRATEGIES DESCRIBED HEREIN IS NOT SUITABLE FOR ALL INVESTORS. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH, BUT NOT ALL, ARE DESCRIBED HEREIN. NO REPRESENTATION IS BEING MADE THAT ANY FUND OR ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN HEREIN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY REALIZED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS THAT CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.



The hypothetical performance results contained herein represent the application of the quantitative models as currently in effect on the date first written above and there can be no assurance that the models will remain the same in the future or that an application of the current models in the future will produce similar results because the relevant market and economic conditions that prevailed during the hypothetical performance period will not necessarily recur. Discounting factors may be applied to reduce suspected anomalies. This backtest’s return, for this period, may vary depending on the date it is run. Hypothetical performance results are presented for illustrative purposes only. In addition, our transaction cost assumptions utilized in backtests, where noted, are based on AQR’s historical realized transaction costs and market data. Certain of the assumptions have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Changes in the assumptions may have a material impact on the hypothetical returns presented. Actual advisory fees for products offering this strategy may vary.



Information contained on third party websites that AQR may link to are not reviewed in their entirety for accuracy and AQR

assumes no liability for the information contained on these websites.



There is a risk of substantial loss associated with trading commodities, futures, options, derivatives and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities, options, derivatives and other financial instruments one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading derivatives or using leverage. All funds committed to such a trading strategy should be purely risk capital.



No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from AQR.



Hypothetical Illustrations



(1) The Opposite SSP example is the negated returns from the AQR Global Stock Selection strategy, (2) the Opposite DELTA example is the negated returns from the AQR DELTA strategy, (3) The Opposite Style Premia (SPP) example is the negated returns from the AQR Style Premia strategy and (4) the Opposite ARP Stock Selection example is the negated returns from a carveout derived from the AQR Global Stock Selection strategy’s attribution to the overall Absolute Return portfolio, scaled to an 8% annual volatility target; all hypothetical returns are excess of cash, net of estimated transactions costs and financing costs.



These hypothetical performance results do not represent the return to an actual fund or trading account that an investor could directly participate in and does not reflect the deduction of any fees or expenses, which would reduce the actual return.



Historical Performance





Actual performance figures contained below are denominated in USD, reflect the reinvestment of dividends and all other earnings, and represent unaudited estimates of realized and unrealized gains and losses prepared by AQR and are subject to review and revision. Past performance is not a guarantee of future performance.



Annualized volatility (standard deviation), correlations, and Sharpe ratios are calculated on an equal-weighted basis for accounts in a composite. The risk free rate used to calculate the Sharpe ratios is the U.S. 3-month Treasury Bill. Returns, correlation to S&P 500, annualized volatility, and Sharpe ratio are calculated using estimated net of fees monthly returns. Correlation and volatility are calculated on a total (gross of cash) return basis.



The DELTA Composite strategy attempts to capture the systematic components of dynamic trading strategies traditionally pursued by hedge funds using a rigorous, risk-controlled investment approach. The Composite's strategy targets the highest ex-ante volatility relative to all of the firm's DELTA strategy composites. Composite net of fees returns are calculated by deducting the maximum model management or advisory fee AQR could charge from the composite monthly gross returns. AQR’s asset-based fees for portfolios within the Composite may range up to 2.00% of assets under management and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Composite assets may have been exposed to the impact of performance fees.



The Global Stock Selection Composite strategy utilizes quantitative return forecasting models and systematic risk-control methods to take long and short positions in various global equities. The accounts invest primarily in global equities, but also may invest in a broad range of instruments, including securities, currencies, futures and other derivative products. Composite net of fees returns are calculated by deducting the maximum model management or advisory fee AQR could charge from the composite monthly gross returns. Effective January 2018 AQR’s asset-based fees for portfolios within the Composite may range up to 1.00% of assets under management and 20.00% performance fee per annum. Prior to January 2018, the Composite’s model fee schedule was 1.33% management fee and 20% performance fee per annum. Fees are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Composite assets may have been exposed to the impact of performance fees.



The Style Premia Composite strategy seeks to deliver efficient exposure to a well-diversified portfolio of long-short style strategies across six asset group contexts including Stock and Industry Selection, Equity Indices, Bonds, Interest Rates, Currencies, and Commodities. AQR pursues these goals by investing in instruments not limited to stocks, futures, swaps, and currency forwards. The Composite's strategy targets the highest ex-ante volatility relative to all of the Firm's Style Premia Composites. Composite net of fees returns are calculated by deducting the maximum model management or advisory fee AQR could charge from the composite monthly gross returns. AQR’s asset-based fees for portfolios within the Composite may range up to 1.50% of assets under management and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Composite assets may have been exposed to the impact of performance fees.