AQR Managed Futures UCITS Fund

September 2022

Fund Description
The AQR Managed Futures UCITS Fund implements a trend-following strategy, that is a strategy which buys assets that
are rising or are expected to rise in price and sells assets that are declining or are expected to decline, and benefits when
those market conditions continue. Trends are pervasive across markets and asset classes due to certain behavioral biases,
initial under-reaction to new information which can also then lead to an over-reaction. The Fund implements both price-
based trend-following signals (short-term and long-term) and economic trend following signals which are based on trends in
fundamental data in and across markets. The Fund trades both traditional assets (e.g. S&P 500 Index Futures, 10-Year US
Treasury Futures, etc.) and alternative assets which are defined as being harder to access or lower capacity (e.g.
Malaysian Palm Oil, French Power, etc.)
The Fund targets a long-term annualized volatility of 10% and a Sharpe Ratio of around 0.6-0.9 over a full market cycle.
Importantly, the Fund seeks to provide a diversifying source of returns with low correlations to traditional asset classes on
average. At certain times the Strategy can take on significant directional views, long or short, during large and extended
market trends. This means the Strategy can be a source of strong positive returns during large equity market drawdowns
as shown in the chart below.
Trend Following has Tended to Perform Well in Severe Market Drawdowns
Hypothetical Performance During 10 Largest Drawdowns for a 60/40 Portfolio
January 1880 – June 2022
120% Stagflationary
100% Crisis
80% Great Dot-com Global Post-
Depression Stagflation Bubble
60% Panic of Financial Pandemic
Bursting
Returns

40% Panic of 1907 Crisis Inflation

20% 1893
0%
-20%
-40% 1987 Stock
-60% Recession of Market Crash
-80% 1937-1938
Feb 1893 - Nov 1906 - Sep 1929 - Mar 1937 - Dec 1968 - Jan 1973 - Sep 1987 - Sep 2000 - Nov 2007 - Jan 2022 -
July 1893 Dec 1907 Jun 1932 Mar 1938 Jun 1970 Sep 1974 Nov 1987 Sep 2002 Feb 2009 Jun 2022
60/40 Portfolio Trend Following

Diversified Across Asset Classes An Innovative Trend Following Model

Over 200 futures, forwards and swaps across four
asset classes including traditional & alternative Positions are constructed using a
assets: systematic process that provide exposure to
a diversified set of trend following signals:
Developed and emerging country
indices, volatility futures, as well as
hundreds of proprietary market-neutral
Equities Price Trend Non-Price Trend
factor portfolios including more than
2,000 stocks across 70 industries
across geographies
Growth
Developed government bond, short-term
Inflation
interest rate futures, developed and
Fixed Income Short-Term Monetary Policy
emerging interest rate swaps, credit
Long-Term International Trade
indices and yield curve assets
Macro Sentiment
Developed and emerging currencies
Currencies Other
traded across multiple base pairs
Commodities Traditional and alternative commodities
Source: AQR. Diversification does not eliminate the risk of experiencing investment losses. Investment process and objectives subject to change at any time
without notice. There is no guarantee, express or implied, that long-term return and/or volatility targets will be achieved. Realized returns and/or volatility may
come in higher or lower than expected. “Expected” or “Target” returns or characteristics refer to expectations based on the application of mathematical principles
to portfolio attributes and/or historical data, and do not represent a guarantee. These statements are based on certain assumptions and analyses made by AQR in
light of its experience and perception of historical trends, current conditions, expected future developments and other factors it believes are appropriate in the
circumstances, many of which are detailed herein. Changes in the assumptions may have a material impact on the information presented. See, e.g., “Betting
Against Beta” Frazzini and Pedersen (2013), “Quality-Minus-Junk” Asness, Frazzini and Pedersen (2015), “Value and Momentum Everywhere” Asness, Moskowitz
and Pedersen (2008) . The 60/40 portfolio has 60% invested in S&P 500 and 40% invested in U.S**Controversial weapons (incl. cluster munitions, landmines, bio-
chemical weapons, etc.). Fossil fuels as determined by reserves, revenue from thermal coal and oil sands For Institutional Investor Use Only. Hypothetical data
has certain inherent limitations, some of which are disclosed in the Appendix.
 AQR Managed Futures UCITS Fund

Data as of September 30, 2022

AQR Managed Futures UCITS Fund Net Returns

October 1, 2014 – September 30, 2022
Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sept. Oct. Nov. Dec. Total
2014 -1.2% 4.8% 1.1% 4.6%
2015 4.4% 1.2% 3.3% -2.9% -0.5% -3.2% -1.1% 2.9% 1.6% -2.8% 0.0% -3.4% -0.9%
2016 1.9% 2.3% -3.1% -1.6% -2.3% 5.4% -0.5% -0.6% 0.2% -2.1% -2.4% 0.2% -3.1%
2017 1.4% 1.2% -1.2% -1.5% 0.1% -1.4% 1.5% -0.2% -0.2% 2.2% 1.4% -0.6% 2.5%
2018 3.8% -4.7% -1.4% -3.2% -1.5% -0.2% 0.2% 2.8% -2.3% -1.0% -1.7% 1.3% -7.9%
2019 -1.7% 0.1% 3.4% 1.5% 1.7% 0.9% 3.4% 1.9% -2.2% -3.9% -0.1% 1.0% 5.9%
2020 -2.6% -0.6% 5.7% 0.2% -1.7% -1.7% -0.6% -0.8% -0.9% 0.1% -2.8% 2.6% -3.3%
2021 0.5% 4.0% -0.4% 0.8% 1.2% -3.5% -3.1% -0.8% 0.9% 4.6% -8.0% 1.1% -3.3%
2022 5.1% 2.1% 9.4% 5.0% -0.4% 4.8% -3.4% 3.1% 5.1% 34.7%

Summary (Since January 1, 2022) Summary (Since October 1, 2014)

Return 34.7% Annualized Return 3.0%
Realized Volatility 9.5%
Rolling Return Summary Fund Cash Sharpe Ratio 0.23
Rolling 1 Yr 10/2021 - 9/2022 31.1% 0.6% Correlation to SG Trend 0.78
Rolling 1 Yr 10/2020 - 9/2021 -0.8% 0.1% Correlation to Global 60/40 -0.30
Rolling 1 Yr 10/2019 - 9/2020 -6.1% 1.1% Trailing Return Summary
Rolling 1 Yr 10/2018 - 9/2019 7.8% 2.4% 1 Year 31.1%
Rolling 1 Yr 10/2017 - 9/2018 -3.9% 1.6% 3 Year 6.9%
Rolling 1 Yr 10/2016 - 9/2017 -4.7% 0.7% 5 Year 4.8%
Rolling 1 Yr 10/2015 - 9/2016 -4.9% 0.3% 7 Year 2.0%

Key Risks Related to the Managed Futures UCITS Fund

The Fund may use derivatives in an attempt to reduce risk (hedging) or for investment purposes. It may be that the
use of derivatives may not always be successful and cause unit prices to fluctuate which may in turn result in loss
to the Fund.
The Fund is exposed to the currency markets which may be highly volatile. Large price swings can occur in such
markets within very short periods and may result in your investment suffering a loss.
The Fund may enter into one or more derivatives with a counterparty. There is a risk that this party may fail to
make its payments or become insolvent which may result in the fund and your investment suffering a loss.
The Fund is exposed to concentration risk as it may have increased exposure to a particular asset or reference
rate. A fall in value of the asset or reference rate can result in a greater loss to the Fund which may be more than
the amount borrowed or invested.
There are risks involved with investing including the possible loss of principal. Past performance is not a guarantee
of future results.
The Fund may invest in less economically developed (known as emerging) markets which can involve greater risks
than well developed economies. Amongst other issues, the level of government supervision and market regulation
may be less than in more developed economies and could affect the value of your investment. Investment in
emerging markets also increases the risk of settlement default.
The Fund relies upon the performance of the investment manager of the Fund. If the investment manager performs
poorly the value of your investment is likely to be adversely affected.
More information in relation to risks in general may be found in the “Risk Factors” section of the
prospectus.

*Source: AQR, Bloomberg. Past performance does not predict future returns. Returns over one year are annualised. The Fund is actively
managed, which means that the investments are selected at the discretion of AQR. The Fund is not managed in reference to a benchmark.
The information in relation to the Index is provided for context and illustration only. The past performance shown has been calculated using
USD-denominated figures. If USD is not your local currency, the returns shown may increase or decrease when converted into your local
currency. Performance for the month ending September 30, 2022, is estimated and subject to change. Net performance is calculated based
on a 0.60% mgmt. fee, 10.0% performance fee and a 0.15% fund expense per annum. Please read important disclosures at the end of this
document.
 AQR Managed Futures UCITS Fund

Data as of September 30, 2022

Sept. Gross Performance Attribution Estimated

Portfolio Positioning
Exposures Analysis
September 1, 2022 – September 30, 2022 As of October 1, 2022
Asset Long Short Total Gross
Short-Term Long-Term Non-Price
Class Exposure Exposure Exposure
Price Price Trend
Totals (% of NAV) (% of NAV) (% of NAV)
Equities -0.4% 0.2% 2.6% 2.5% Equities 46% 71% 117%

Fixed Income 0.5% 0.8% 1.5% 2.7% Fixed Income 50% 118% 168%

Currencies 0.4% 0.8% -0.7% 0.5% Currencies 45% 70% 114%

Commodities 0.1% -0.3% 0.2% 0.0% Commodities 3% 13% 17%

Signal Totals 0.6% 1.5% 3.6% 5.7% Total Fund 144% 273% 417%

YTD Gross Performance Attribution Estimated Exposures Monthly Change

January 1, 2022 – September 30, 2022 Difference as of October 1, 2022 relative to September 1, 2022
Asset Long Short Total Gross
Short-Term Long-Term Non-Price
Class Exposure Exposure Exposure
Price Price Trend
Totals (% of NAV) (% of NAV) (% of NAV)
Equities -2.0% -1.2% 4.9% 1.7% Equities 1% -1% 1%

Fixed Income 3.7% 5.3% 12.6% 21.6% Fixed Income -11% -12% -22%

Currencies -0.2% 2.4% 3.7% 6.0% Currencies -15% -16% -33%

Commodities 1.8% 2.5% 3.5% 7.9% Commodities -1% 2% 2%

Signal Totals 3.4% 9.1% 24.7% 37.2% Total Fund -27% -25% -52%

Portfolio Volatility and Asset Class Relative Risk Allocations

October 1, 2021 – September 30, 2022

14%

12%
Asset Class Relative Risk Allocations

10%
Portfolio Volatility and

Update graph from monthly pack

8%

6%

4%

2%

0%
Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22
Equities Fixed Income Currencies Commodities Portfolio Volatility Long-Term Volatility Target

Source: AQR, Compustat, Datastream, Bloomberg, XpressFeed, TruCost, MSCI and IBES.
Past performance does not predict future returns. Current month's returns based on gross, unaudited estimates. Returns shown are for the AQR Managed Futures
UCITS Fund. Complete performance can be found on page 4. The past performance shown has been calculated using USD-denominated figures. If USD is not
your local currency, the returns shown may increase or decrease when converted into your local currency.
Characteristics are subject to change at any time without notice.
. Please refer to the Prospectus and KIID for more information on and fees.
 AQR Managed Futures UCITS Fund

Data as of September 30, 2022

AQR Managed Futures Hypothetical 10% Volatility Adjusted Performance
Hypothetical AQR
AQR Managed
Managed Futures 10% SG Trend
x Futures UCITS Fund
Volatility Proforma Index
(Net)
(Net)
2014 (Oct. – Dec.) 4.6% 11.1% 11.8%
2015 -0.9% 19.7% 0.0%
2016 -3.1% -2.4% -6.1%
2017 2.5% -10.7% 2.2%
2018 -7.9% 2.9% -8.1%
2019 5.9% 3.1% 9.2%
2020 -3.3% 9.5% 6.3%
2021 -3.3% 4.3% 9.1%
2022 YTD 34.7% 34.0% 35.6%

Annualized Return 3.0% 8.2% 6.8%

Realized Volatility 9.5% 11.2% 11.7%
Sharpe Ratio 0.23 0.66 0.51
Correlation to MSCI World -0.28 -0.33 -0.07
Correlation to SG Trend Index 0.78 0.78 1.00
Tracking Error to SG Trend Index 7.3% 7.6%

Fund Details
Investment Manager AQR Capital Management, LLC
Fund Assets $323m
Domicile Luxembourg
Launch Date October 1, 2014
Dealing Daily
1.00% management fee
Fees or
0.60% management fee and 10% performance fee
Institutional Accumulation &
Share Classes Retail Accumulation
Distribution
Currency Denomination EUR, GBP, USD, CHF EUR, GBP, USD
Minimum Subscription* 100,000 10,000
Administrative and Operating Fees** 0.14% 0.20%
Local Tax 0.01% 0.05%

Source: AQR, Bloomberg. Performance in USD. Performance for the month ending 9/30/2022 is estimated and subject to change.
n

Net returns for AQR Managed Futures UCITS Fund are net of a 0.60% management fee, a 0.15% administrative and operating fee, and a
10% performance fee per annum. Net returns for Hypothetical AQR Managed Futures 10% Volatility Proforma are net of a 0.75%
management fee and 10% performance fee per annum since inception. Please see the appendix for an explanation of the proforma
constructions. Carve-out performance results are based upon a segment of the strategy and were not managed separately but as part of a
larger strategy. Volatility adjusted performance has been scaled to match a different volatility target and is not the actual performance of the
respective portfolio(s). All carve-out and volatility scaled performance are hypothetical and for illustrative purposes only. Hypothetical data has
inherent limitations, some of which are disclosed in the Appendix. AQR does not currently run the Hypothetical AQR Managed Futures 10%
Volatility Proforma and there is no guarantee it will come to market or be profitable. Please read important disclosures in the Appendix.
*Investors should refer to the section of the Prospectus headed “Important Information” which may refer to an alternative Minimum Initial
Subscription requirement for investors from a particular country. The Directors may reduce or waive the Minimum Initial Subscription at their
sole discretion.
**The Administrative and Operating Fee is equal to a percentage (as specified in the table “Summary of Shares, Investment Management
Fees, Administrative and Operating Fees and Performance Fees” above) of the Net Asset Value of the relevant Share Class and shall be
calculated in the same manner as the calculation of the Investment Management Fee. The Directors may reduce the Administrative and
Operating Fee.
 AQR Managed Futures UCITS Fund

About AQR*
AQR is a global investment management firm built at the intersection of financial theory 1998
and practical application. We strive to deliver superior, long-term results for our clients
by looking past market noise to identify and isolate what matters most, and by
1998
Year Founded

developing ideas that stand up to rigorous testing. Our focus on practical insights and Year founded
analysis has made us leaders in alternative and traditional strategies since 1998.
~600
We have a firmwide commitment to responsible investing and have utilized ESG- Employees
related alpha signals in our security selection models since the firm’s inception. In across 6 global
addition to their use across ~80% of AQR’s assets under management, we have offices
offered dedicated Sustainable strategies since 2016 and climate-aware
implementations since 2017. We have published widely on ESG-related topics.
~35
AQR’s investment and research team has been managing long-short equity strategies Ph.D.s and
since the 1990s, and has managed stand-alone long-short equity funds since 2000. ~15 professors

Broad Range Alternative Alternative

Traditional Equity
of Investment Total Return Absolute Return
$52.8bn
Solutions $18.3bn $20.8bn
$92bn
Diversified EMEA & LatAm North America Asia Pacific Firmwide AUM
Client Base $22.5bn $55bn $15bn

Portfolio Managers
Clifford S. Asness, Ph.D. John Liew, Ph.D. Yao Hua Ooi
Managing & Founding Founding Principal, AQR Principal, AQR
Principal, AQR Ph.D., M.B.A., University of B.S., B.S., University of
Ph.D., M.B.A., University of Chicago Pennsylvania
Chicago B.A., University of Chicago
B.S., B.S., University of
Pennsylvania

Disclosures
The GIPS Composite Reports for the Managed Futures Moderate Volatility Private Composite can be found in the back Appendix.
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 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. This document is intended exclusively
for the use of the person to whom it has been delivered and it is not to be reproduced or redistributed to any other person.
Diversification does not eliminate the risk of experiencing investment losses. The investment strategy and themes discussed herein may be
unsuitable for investors depending on their specific investment objectives and financial situation. Please note that changes in the rate of
exchange of a currency may affect the value, price or income of an investment adversely. 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. The information in this presentation has been developed internally and/or obtained from sources believed to be
reliable; however, neither AQR nor the speaker guarantees the accuracy, adequacy or completeness of such information. Nothing contained
herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. All performance
figures contained herein reflect the reinvestment of dividends and all other earnings and represent unaudited estimates of realized and
unrealized gains and losses prepared by AQR Capital Management, LLC. There is no guarantee as to the above information's accuracy or
completeness. Past performance does not predict future returns.

Source: AQR. *Approximate as of 9/30/2022, includes assets managed by AQR and its advisory affiliates.
 AQR Managed Futures UCITS Fund
Disclosures

This is a marketing communication. Please refer to the Prospectus and KIID for more information on general terms, risks and fees. Investors should only
invest in the Fund once they have reviewed the Prospectus and KIID, the most recent versions are available free of charge, in English and in your local
language at AQR UCITS Funds, c/o HedgeServ (Luxembourg) S.à r.l., 1st Floor, Infinity Building, 5 Avenue John F. Kennedy, L-1855, Grand Duchy of
Luxembourg, along with the annual and semi-annual report and articles (each in English). Investors may wish to consult an independent financial
advisor for personal and specific investment advice before investing. Only the information provided in the Prospectus and the KIID is legally binding. Not
all share classes are available for investment in all countries. The Prospectus as well as a summary of investor rights are available in English. The
relevant KIID is available in Danish, Dutch, English, French, German, Icelandic, Italian, Norwegian, Spanish, Swedish, and depending upon the specific
fund, Greek and Portuguese. These documents are available at: https://ucits.aqr.com/
For further information regarding the risks of investing in the Fund please refer to the Risk and Reward section of the KIID and the section of the
Prospectus entitled “Risk Factors.”
The Fund is a sub-fund of AQR UCITS Funds, a Luxembourg based UCITS of which the management company is FundRock Management Company
S.A.
The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable.
However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR
recommend that the attached information serve as the basis of any investment decision. 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. This document is intended exclusively for the use of the person to whom it has been delivered by AQR
and it is not to be reproduced or redistributed to any other person.
This document is not research and should not be treated as research. This document 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 AQR does not undertake to advise you of any changes in the views expressed
herein. It should not be assumed that 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. The information in this document has been developed internally and/or obtained
from sources believed to be reliable; however AQR does not guarantee the accuracy, adequacy or completeness of such information. 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. This document 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 investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial
situation. Please note that changes in the rate of exchange of a currency may affect the value, price or income of an investment adversely.
No representation or warranty, express or implied, is made or given by or on behalf of AQR or any other person as to the accuracy and completeness or
fairness of the information contained in this document, and no responsibility or liability is accepted for any such information.
There is no guarantee, express or implied, that long-term return and/or volatility targets will be achieved. Realized returns and/or volatility may come in
higher or lower than expected. Past performance does not predict future returns. Diversification does not eliminate the risk of experiencing investment
losses.
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.
Please note that the management company may decide to terminate the arrangements made for the marketing of the Fund in any country where it has
been registered for marketing.
Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment
funds. Investments cannot be made directly in an index.
Definition: The ICE BofAML US 3-M T-Bill Index measures the rate of return an investor would realize when purchasing a single U.S. 3-month treasury
bill, holding it for one month, selling it, and rolling it into a newly selected issue at the beginning of the next month.
The SG Trend Index is designed to track the largest 10 (by AUM) CTAs and be representative of the managed futures trend-following space
Where the benchmark is not being used in reference to the management and/or implementation of the investment policy of the Fund, the referenced
benchmark is used for the calculation of performance fees and/or as a point of comparison.
The fees and charges paid by the Fund will reduce the return on your investment.
The Investment Manager is entitled to receive a performance fee in relation to certain share classes of the Fund. Please refer to the prospectus to check
if a performance fee is charged on your shares and for further detail of the performance fee calculation method. Where charged, the performance fee is
calculated in respect of each twelve-month period ending on 31 March of each year. The performance fee calculation methodology incorporates a loss
carry forward mechanism, meaning that where a share class has underperformed its hurdle specified in the prospectus in a past calculation period or
periods, no performance fee will be charged for the current calculation period unless that underperformance is caught up. The performance fee amounts
to [10%] of any increase in value of the share class above the relevant hurdle. The performance fee is crystallised annually on 31 March, or the date
when shares are redeemed. Generally, the performance fee is paid to the Investment Manager within 14 business days of the month end in which
crystallisation occurs. You should note that a performance fee may be charged even for periods when the Fund’s performance is negative.
 AQR Managed Futures UCITS Fund
Disclosures
Past performance is not an indication of future performance.
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 Capital Management, LLC’s, (“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.
© Morningstar 2022. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information
contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not
warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from
any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial
performance is no guarantee of future results.
The Hypothetical AQR Managed Futures 10% Volatility Strategy has a 40% allocation to both Traditional Trend and Economic Trend, and a
20% allocation to Alternative Trend
Hypothetical Alternative Trend-Following Strategy
The Hypothetical Alternative Trend-Following Strategy was constructed with an equal-weighted combination of 1-month, 3-month, and 12-month
trend-following strategies for markets across 6 major asset groups – equity factor portfolios, credit indices, interest rate swaps, emerging currencies,
alternative commodities, and volatility futures – from January 1990 onward. Since not all markets have the same length of historic return data
available, we construct the strategies using the largest number of assets for which return data exist at each point in time. We use futures returns
when they are available. The strategy targets long-term volatility target of 10% but does not limit volatility during periods where realized volatility may
be higher or lower than this number.
In order to calculate net-of-fee returns for the time series momentum strategy, we subtracted a 2% annual management fee and a 20% performance
fee per annum from the gross-of-fee returns to the strategy. The performance fee is calculated and accrued on a monthly basis, but is subject to an
annual high-water mark. In other words, a performance fee is subtracted from the gross returns in a given year only if the returns in the fund are
large enough that the fund’s NAV at the end of the year exceeds every previous end of year NAV. The transactions costs used in the strategy are
based on AQR’s proprietary estimates of transaction costs for each market traded, including market impact and commissions.
This model is not based on an actual portfolio AQR manages. The performance of the AQR Alternative Trends Strategy may be greater or less than
the performance of the Alternative Trend-Following Strategy due to, among other things, differences in the investment strategy pursued by the AQR
Alternative Trends Strategy and the number of holdings in and composition of the AQR Alternative Trends Strategy’s portfolio.The benchmark and
relevant cash rate is assumed to be 3-month Treasury bills.
Hypothetical Economic Trend-Following Strategy Backtest Construction
The Hypothetical Economic Trend-Following Strategy uses data from February 1970 onward. The investment strategy is based on trend following
which for each theme (Growth, Inflation, International Trade, Monetary Policy, Risk Aversion) and within each asset class, takes a long position in
assets in which economic trends are improving and a short position in assets in which economic trends are deteriorating. Each individual position is
sized to target the same amount of volatility, both to provide diversification and to limit the portfolio risk from any individual market. The theme
portfolio across all assets is scaled to target 10% forecasted annual volatility.

.
 AQR Managed Futures UCITS Fund
Disclosures
Economic Trend-Following Pro Forma Construction
Proforma performance of the Hypothetical Directional Economic Trend-Following Strategy is based on directional trend following on economic data
carved out from the AQR Global Macro Strategy from February 2012 through January 2018, the AQR Systematic Total Return Strategy from
February 2018 through August 2018, the AQR Select Market Opportunities Strategy from September 2018 through February 2020, and the AQR
Diversified Systematic Macro – Full Volatility Strategy from March 2020 onward. Actual performance for the AQR Global Macro Strategy, AQR
Systematic Total Return Strategy, AQR Select Market Opportunities Strategy, and the AQR Diversified Systematic Macro – Full Volatility Strategy is
provided in the GIPS Composite Reports for each Strategy at the back of the Appendix. Directional economic trend performance carved out from the
AQR Global Macro Strategy includes the returns to directional economic trend strategies in global equities, developed bonds and short-term interest
rates, and commodities, as well as the returns to cross-sectional economic trend strategies in developed and emerging currencies, which serve as a
proxy for the returns to a directional economic trend currency strategy. The returns to the cross-sectional currency strategy are scaled to the same
weight as the directional strategies in other asset classes, such that each of the four asset classes receive equal weight. Directional economic trend
performance carved out from the AQR Systematic Total Return Strategy, the Select Market Opportunity Strategy, and The AQR Diversified
Systematic Macro – Full Volatility Strategy include the returns to directional economic trend strategies in global equities, developed bonds and short-
term interest rates, currencies, and commodities. The aggregated directional economic trend strategy is scaled to a 10% volatility target at each
point in time.
Hypothetical Price-Based Trend-Following Strategy
The Hypothetical Price-Based Trend-Following Strategy model uses data from January 1880 onward. The investment strategy is based on trend-
following investing which involves going long markets that have been rising and going short markets that have been falling, betting that those trends
over the examined look-back periods will continue. The strategy was constructed with an equal-weighted combination of 1-month, 3-month, and 12-
month trend-following strategies for 67 markets across 4 major asset classes: 29 commodities, 11 equity indices, 15 bond markets, and 12 currency
pairs. Since not all markets have return data going back to 1880, we construct the strategies using the largest number of assets for which return
data exist at each point in time. We use futures returns when they are available. Prior to the availability of futures data, we rely on cash index returns
financed at local short rates for each country. Please see Figure 2 for additional details. The strategy targets a long-term volatility target of 10% but
does not limit volatility during periods where realized volatility may be higher or lower than this number.
Hypothetical performance is gross of advisory fees and net of transaction costs, unless stated otherwise. In order to calculate net-of-fee returns, we
subtracted a 2% annual management fee and a 20% performance fee from the gross-of-fee, net-of-transaction-cost returns to the strategy. Actual
fees may vary depending on, among other things, the applicable fee schedule. AQR’s fees are available upon request and also may be found in Part
2A of its Form ADV. The transactions costs used in the strategy are based on AQR’s estimates of average transaction costs for each of the four
asset classes, including market impact and commissions. The transaction costs are assumed to be twice as high from 1993 to 2002 and six times as
high from 1880–1992. The transaction costs used are shown in Figure 1.
This model is not based on an actual portfolio AQR manages. The performance of the AQR Managed Futures Strategy may be greater or less than
the performance of the Trend-Following Strategy due to, among other things, differences in the investment strategy pursued by the AQR Managed
Futures Strategy and the number of the holdings in and composition of the AQR Managed Futures Strategy’s portfolio.
The benchmark and relevant cash rate is assumed to be ICE BofAML 3-Month T-Bill. Prior to 1929 when 3-month Treasury bills became available,
the benchmark and relevant cash rate is assumed to be the NYSE call money rates (the rates for collateralized loans) through 1920, and returns on
short-term government debt (certificates of indebtedness) from 1920 until 1929.
Figure 1
One-Way Transaction Costs
Asset Class Time Period
(as a % of notional traded)
1880 – 1992 0.34%
Equities 1993 – 2002 0.11%
2003 – Present 0.06%
1880 – 1992 0.06%
Fixed Income 1993 – 2002 0.02%
2003 – Present 0.01%
1880 – 1992 0.18%
Currencies 1993 – 2002 0.06%
2003 – Present 0.03%
1880 – 1992 0.58%
Commodities 1993 – 2002 0.19%
2003 – Present 0.10%

Information for United Kingdom investors: The information set forth herein has been prepared and issued by AQR Capital Management (Europe)
LLP, a UK limited liability partnership with its office at Charles House 5-11, Regent St., London, SW1Y 4LR, which is authorised and regulated by
the UK Financial Conduct Authority (“FCA”). This factsheet is a financial promotion and has been approved by AQR Capital Management (Europe)
LLP.
Information for EEA investors: AQR in Germany and the European Economic Area is AQR Capital Management (Germany) GmbH, a German
limited liability company (Gesellschaft mit beschränkter Haftung; “GmbH”), with registered offices at Maximilianstrasse 13, 80539 Munich, authorized
and regulated by the German Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht, “BaFin“), with offices at
Marie-Curie-Str. 24-28, 60439, Frankfurt am Main und Graurheindorfer Str. 108, 53117 Bonn to provide the services of investment advice
(Anlageberatung) and investment broking (Anlagevermittlung) pursuant to the German Banking Act (Kreditwesengesetz; “KWG”). The Complaint
Handling Procedure for clients and prospective clients of AQR in Germany and the European Economic Area can be found here:
https://ucits.aqr.com/Legal-and-Regulatory.
Information for Swiss investors: This document is an advertising document. The Swiss Representative of the Fund is Carnegie Fund Services
S.A., 11, rue du Général-Dufour, CH-1204 Geneva, Switzerland, +41 22 705 11 78, Internet: www.carnegie-fund-services.ch. The Swiss Paying
Agent of the Fund is Banque Cantonale de Genève, 17, quai de l’Ile, CH-1204 Geneva, Switzerland.
Request ID: 364582.
 AQR Managed Futures UCITS Fund
Disclosures
This presentation cannot be used in a general solicitation or general advertising to offer or sell interest in its Funds. As such, this
information cannot be included in any advertisement, article, notice or other communication published in any newspaper, magazine, or
similar media or broadcast over television or radio; and cannot be used in any seminar or meeting whose attendees have been invited by
any general solicitation or general advertising.
Firm Information: AQR Capital Management, LLC (“AQR”) is a Connecticut based investment advisor registered with the Securities and Exchange
Commission under the Investment Advisors Act of 1940. AQR conducts trading and investment activities involving a broad range of instruments,
including, but not limited to, individual equity and debt securities, currencies, futures, commodities, fixed income products and other derivative
securities. For purposes of firm-wide compliance and firm-wide total assets, AQR defines the “Firm” as entities controlled by or under common
control with AQR (including voting right). The Firm is comprised of AQR and its advisory affiliates, including AQR Arbitrage, LLC. Prior to January 1,
2022, AQR Arbitrage, LLC was formerly known as CNH Partners, LLC.
Upon request, AQR will make available a complete list and description of all Firm composites, a list and description of limited distribution pooled
funds, and a list of broad distribution pooled funds. Policies for valuing portfolios, calculating performance, and preparing GIPS Reports are available
upon request.
GIPS Compliance: AQR claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this
report in compliance with the GIPS standards. AQR has been independently verified for the period August 1, 1998 through December 31, 2021. The
verification reports are available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for
complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures
related to composite maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with
the GIPS standards and have been implemented on a firm‐wide basis. Verification does not ensure the accuracy of any specific composite
presentation.
GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or
quality of the content contained herein.
Composite Characteristics: New accounts that fit a composite definition are added at the start of the first full calendar month after the assets
come under management, or after it is deemed that the investment decisions made by the investment advisor fully reflect the intended investment
strategy of the portfolio. A composite will exclude terminated accounts after the last full calendar month performance measurement period that the
assets were under management. The composite will continue to include the performance results for all periods prior to termination. For periods
beginning July 1, 2010 through February 28, 2015, AQR defined a significant cash flow as an external cash flow within a portfolio of 50%. Additional
information is available upon request.
Other discretionary portfolios that trade similar securities and/or strategies as those portfolios included in this composite, but do not meet this
composite’s strategy criteria, are excluded from this composite and reside in one or more separate composites, which are available upon request.
Calculation Methodology: All portfolios are valued daily, weekly, intra-monthly or monthly as defined by Firm policy. The Modified Dietz
calculation methodology is used when calculating monthly and intra-month returns. Mutual funds and UCITS are valued daily and performance is
calculated on a daily basis. Gross of fees returns are calculated gross of management and performance fees, administrative and custodial costs,
and net of transaction costs beginning January 1, 2010. Prior to January 1, 2010, gross of fees returns are gross of management and performance
fees, and net of administrative, custodial, and transaction costs. Additional information regarding fees and the calculation of gross and net
performance is available upon request.
The dispersion measure is the equal-weighted standard deviation of accounts in a composite for the entire year and is calculated using gross
returns. Dispersion is not considered meaningful for periods shorter than one year or for periods during which a composite contains five or fewer
accounts for the full period. The three-year annualized ex-post standard deviation measure is calculated using gross returns and is inapplicable
when 36 monthly returns are not available.
Returns are calculated net of all withholding taxes on foreign dividends. Accruals for fixed income and equity securities are included in calculations.
AQR’s management or advisory fees are described in Part 2A of its Form ADV. In addition, AQR funds may have a redemption charge up to 2.00%
based on gross redemption proceeds that may be charged upon early withdrawals. Consultants supplied with gross results are to use this data in
accordance with SEC, CFTC and NFA guidelines.
 AQR Managed Futures UCITS Fund
Disclosures
AQR Capital Management, LLC
Managed Futures Moderate Volatility Private Composite
2/1/2012 ‒ 12/31/2021
Year Gross Return Net Return 1 Net Return 2 Benchmark * Number of Composite Benchmark * Composite Total Firm
% % % Return % Portfolios 3-Yr StDev % 3-Yr StDev % Assets ($M) Assets ($M)
2012 3.94 2.95 3.05 0.11 1 N/A N/A 229.79 71,122.42
2013 11.37 10.21 9.64 0.07 1 N/A N/A 512.01 98,302.69
2014 14.22 13.04 12.19 0.03 1 N/A N/A 1,067.21 122,655.99
2015 4.15 3.07 3.18 0.05 2 9.67 0.02 1,515.12 142,173.39
2016 -8.10 -9.06 -8.65 0.33 2 10.48 0.05 1,836.52 175,089.36
2017 -0.16 -1.20 -0.75 0.86 2 9.05 0.11 1,940.94 223,432.52
2018 -8.55 -9.51 -9.10 1.87 2 8.61 0.20 1,116.62 193,554.78
2019 2.41 1.34 1.79 2.28 2 8.64 0.20 736.84 185,575.93
2020 1.15 0.22 0.60 0.67 2 9.30 0.27 463.63 139,714.13
2021 -0.04 -0.83 -0.53 0.05 2 9.38 0.32 237.53 123,007.08

*ICE Bank of America ML US 3-Month Treasury Bill Index

Net Return 1 calculated from inception through June 2020 based on 1.05% management fee per annum. Beginning July 2020, calculated
based on 0.80% management fee per annum
Net Return 2 calculated from inception through June 2020 based on 0.60% management fee and 10.00% performance fee (over Benchmark
hurdle) per annum. Beginning July 2020,
calculated based on 0.50% management fee and 10.00% performance fee (over Benchmark hurdle) per annum.

Composite Description: The Managed Futures Moderate Volatility Private Composite (the “Composite”) was created in February 2012.
The investment objective of the Composite strategy (the “Strategy”) is to achieve attractive risk-adjusted returns through a trend-following
strategy that is uncorrelated to traditional investments over the long term. The Strategy invests in a diversified portfolio of equity, fixed
income, currency and commodity-linked instruments, both long and short, based on trends relevant to each asset using a systematic,
quantitative investment process. The Strategy invests primarily in financial futures, commodity futures and currency forwards, but it may
also invest in option and swap contracts, fixed income securities, pooled investment vehicles (largely money market funds), and other
investments intended to serve as margin or collateral for the accounts’ derivative positions. Accounts included pursue an ex-ante target
volatility of 10% per annum, which is subject to change on a near term basis to best accommodate changing market conditions. Accounts
included utilize an instrument set and risk allocation geared to best suit private investors. The Composite is denominated in USD.
The Strategy uses derivatives, such as futures, forwards, and swaps, primarily to obtain exposure to markets, both long and short. The
derivatives employed in the Strategy contain embedded economic leverage as the margin required to hold the contract is less than the
notional economic exposure of the underlier. Leverage is employed to increase the overall volatility of the Strategy to the desired level.
Leverage will vary over time based on market conditions, risk environment, assets traded, and opportunity set. Additionally, the Strategy
may use shorting and derivatives to hedge unwanted market exposure gained from portfolio holdings, such as exchange rate risk
embedded into security holdings.
Benchmark: The Composite benchmark is the ICE Bank of America ML US 3-Month Treasury Bill Index (the “Benchmark”). The
Benchmark measures the rate of return an investor would realize when purchasing a single U.S. 3-month treasury bill, holding it for one
month, selling it, and rolling it into a newly selected issue at the beginning of the next month. The investments in the Composite vary
substantially from those in the Benchmark. The index has not been selected to represent an appropriate benchmark to compare an
investor’s performance, but rather is disclosed to allow for comparison of the investor’s performance to that of a certain well-known and
widely recognized index.
Fees & Expenses: 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 July 2020, AQR’s asset-based fees for portfolios within the Composite
may range up to 0.80% of assets under management. Prior to July 2020, the Composite’s model fee schedule was 1.05% management
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. This
management fee is applicable for AQR Managed Futures Offshore Fund Ltd. and AQR Managed Futures Fund II, L.P. As of December
31, 2021, the estimated expense ratios for AQR Managed Futures Offshore Fund Ltd. and AQR Managed Futures Fund II, L.P. were
0.11% and 0.09% per annum, respectively.
Past performance is not an indication of future performance.