These are Class I mutual-fund returns through September 30, rather than estimates of AQR’s private hedge funds:
| Fund | September | Year to date |
|---|---|---|
| Alternative Risk Premia · QRPIX | +4.75% | +33.19% |
| Managed Futures Strategy · AQMIX | +5.27% | +18.91% |
| Equity Market Neutral · QMNIX | +1.50% | −2.16% |
The market-neutral fund’s third-quarter gain was 7.29%, so its positive September still left the year underwater. Alternative Risk Premia combines long and short exposures across stocks, bonds, currencies and commodities; Managed Futures seeks to exploit price trends. The dispersion makes a firm-wide “quant is winning” account too coarse. These tables do not supply September strategy attribution.
QRPIX also illustrates why alternative-fund expenses need careful reading: its net expense ratio is 5.05%, while the adjusted figure is 1.48%. The adjustment removes certain investment-related costs, including borrowing interest and dividends on short positions. It does not make those costs disappear. The management fee is 1.20%. The June portfolio shows substantial offsetting long and short exposures; those are dated exposures, not September attribution or a prediction of losses.