AQR Sustainable Delphi Long-Short Equity UCITS Fund

The overarching aim of the strategy is to outperform the equity market by favouring low risk stocks while targeting a 0.5 beta to the MSCI World. The strategy is defensive in nature and is a function of 3 investment pillars: low statistical risk, low fundamental risk and valuation. Low statistical risk is based on the ‘low-risk anomaly’ where low-beta strategies deliver long-run returns similar to traditional benchmarks, at a significantly lower volatility. Low fundamental risk focuses on examining ‘quality’ indicators, with the belief that higher quality companies outperform lower quality ones. The final pillar analyses stocks from a value perspective, with the belief that relatively cheap stocks will outperform relatively expensive ones. Finally, the fund utilises leverage with the aim to translate better risk-adjusted returns into absolute outperformance. The weight of signals are derived from intra-industry themes or from economic links connecting companies globally. Signals with stronger economic grounding and longer research track records across regions and asset classes generally receive higher risk allocations within the model. The strategy is implemented systematically with a focus on efficient portfolio implementation. The portfolio is rebalanced typically every 3-6 weeks but the model is run every day for risk management. The portfolio holds around 1000+ long positions and 500+ shorts. The target annual volatility is 10% while leverage expectations are; gross: 500%, net: 125%.