AQR Sustainable Corporate Arbitrage UCITS Fund

Investment Objective

The Fund seeks to deliver an attractive risk-adjusted net returns over the long-term which are diversifying to traditional equity and bond markets while employing a sustainable approach incorporating environmental, social, and governance ("Sustainable ESG") criteria. The Fund is actively managed and will seek to achieve its investment objective by employing a number of arbitrage investment strategies, including Merger Arbitrage, Convertible Arbitrage and Corporate Event Strategies.

Latest Meeting Note

Meeting 28 Sep 2021

The AQR Sustainable Corporate Arbitrage UCITS fund is run by CNH Partners, an affiliate of AQR Capital Management who specialise in merger arbitrage, convertible arbitrage and other corporate event related strategies. The strategy seeks ... Read more

The AQR Sustainable Corporate Arbitrage UCITS fund is run by CNH Partners, an affiliate of AQR Capital Management who specialise in merger arbitrage, convertible arbitrage and other corporate event related strategies. The strategy seeks to exploit the liquidity risk premium across multiple asset classes by investing in three core arbitrage strategies: merger arbitrage, convertible arbitrage, and a suite of event-driven strategies (SPACs, closed-end funds arb and capital markets), with the 3 sleeves targeting a roughly equal contribution to portfolio risk, though historically convertible arbitrage has taken a larger allocation (up to 50-60% of risk). In the merger arbitrage sleeve, the team typically hold anywhere from 30-100 mergers. depending on market conditions and deal flow, after screening out deals with poor governance and other ESG characteristics. In the convertible book, the strategy imposes static and dynamic screens to restrict the universe to issuers that have relatively more attractive governance characteristics. The team primarily sources opportunities by screening the universe daily for attractive deals on a quantitative basis. This involves assessing the risk and return trade-off of each position within the various arbitrage strategies, with downside estimates the primary factor considered when determining portfolio weights. After a position has been run through the optimizer, it is evaluated by the CNH arbitrage team who review the merger agreements, debt documents and aim to adjust exposure across strategies based on opportunity set and cheapness signals. This discretionary management overlay is applied to reduce risk and allocate capital to the most attractive opportunities at any given time. The final portfolio is well-diversified and run with moderate leverage (1.5-2x LMV/NAV), with the fund targeting an excess return of 6-8% p.a. with a volatility budget of 6-8%.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 0.2 0.6 0.2 0.9 0.0 0.8 0.6 0.9 0.3 0.6 0.7 0.4 0.7
2020 0.1 0.4 0.5 1.0 0.6 0.8 0.9 0.7 1.0 0.9 0.4 0.1 0.1

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.