AQR Sustainable Delphi Long-Short Equity UCITS Fund

Investment Objective

The AQR Sustainable Delphi Long-Short Equity UCITS Fund seeks to outperform the equity markets over a full cycle with a moderate level of market exposure. The Fund favors low risk, high quality stocks where safety and risk are identified through a variety of indicators including ESG. 

The resulting portfolio is a highly diversified long-short global equity portfolio of large and small cap stocks which will dynamically integrate climate, sustainability and ESG considerations through ESG-related alpha signals, active tilting, active and static screening. The portfolio will also be carbon aware seeking negative exposure to fossil fuels and taking into consideration emissions, fossil fuel reserves and revenues from fossil-fuel type sources. 

Reference Index

0.5* ML 3 Month T Bill Index and 0.5* MSCI World Index (USD hedged)

Latest Meeting Note

Meeting 28 Oct 2019

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 statisti... Read more

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%.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.3 0.5 0.5 0.8 0.7 0.8 0.1 0.4 0.6 1.0 0.7 0.2 0.2
2022 0.5 1.0 0.6 0.8 0.0 0.9 0.8 0.9 0.2 0.8 0.1 0.6 0.1

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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.