Before you invest, you may want to review the Funds prospectus, which contains more information about the Fund and its risks. You can find the Funds prospectus and other information about the Fund, including the statement of additional information and most recent shareholder report, online at. You can also get this information at no cost by calling or by sending an email to . The Funds prospectus and statement of additional information, each dated May 1, 2012, as amended and supplemented from time to time, and the Funds most recent shareholder report, dated December 31, 2011, are all incorporated by reference to this summary prospectus.
The AQR Managed Futures Strategy Fund (the Fund) seeks positive absolute returns.
This table describes the fees and expenses that you may pay if you buy and hold shares of the Fund.
Shareholder Fees(fees paid directly from your investment)
Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)
Maximum Deferred Sales Charge (Load) (as a percentage of the lesser of the amount redeemed or original purchase cost)
Redemption Fee (as a percentage of amount redeemed or exchanged, only within 60 days)
Less: Fee Waivers and/or Expense Reimbursements1
Total Annual Fund Operating Expenses after Fee Waivers and/or Expense Reimbursements
1TheAdviserhas contractually agreed to waive its management fee and/or to reimburse expenses of the Fund to the extent necessary to maintain the total annual fund operating expenses at no more than 1.25% for ClassI Shares and 1.50% for Class N Shares (the Fee Waiver Agreement). This arrangement will continue at least through April 30, 2013. The Fee Waiver Agreement may only be terminated with the consent of theBoard, including a majority of the Trustees of theTrustwho are not interested persons of theTrustwithin the meaning of the1940 Actand does not extend tointerest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales and extraordinary expenses. Under the Fee Waiver Agreement, theAdviseris entitled to recapture the fees waived and/or expenses reimbursed, only to the extent that the repayment of fees and/or expenses can be made during the thirty-six months following the applicable period during which theAdviserwaived fees or reimbursed the Fund for its expenses under the Fee Waiver Agreement. In no case will theAdviserrecapture any amount that would cause the aggregate operating expenses of the Fund attributable to a share class during a year in which a repayment is made to exceed the applicable limits described above.
Example:This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in othermutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the same and takes into account the effect of the Fee Waiver Agreement through April 30, 2013, as discussed in Footnote No.1 to the Fee Table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
Portfolio Turnover:The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the example, affect the Funds performance. During the most recent fiscal year, the Funds portfolio turnover rate was 0% of the average value of its portfolio. In accordance with industry practice, derivative instruments and instruments with a maturity of one year or less at the time of acquisition are excluded from the calculation of the portfolio turnover rate which leads to the 0% portfolio turnover rate reported above. If these instruments were included in the calculation, the Fund would have a high portfolio turnover rate (typically greater than 300% (as discussed below under Principal Investment Strategies of the Fund)).
To pursue its investment objective, the Fund invests primarily in a portfolio of futures contracts, futures-related instruments and equity swaps. The Funds universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts and equity swaps across four major asset classes (commodities, currencies, fixed income and equities); however, this universe of investments is subject to change under varying market conditions and as these instruments evolve over time.
Generally, the Fund invests in futures contracts and futures-related instruments including, but not limited to, global developed and emerging market equity index futures, swaps on equity index futures and equity swaps, global developed and emerging market currency forwards, commodity futures, swaps on commodity futures, global developed fixed income futures, bond futures and swaps on bond futures (collectively, the Instruments), either by investing directly in those Instruments, or indirectly by investing in theSubsidiary(as described below) that invests in those Instruments. There are no geographic limits on the market exposure of the Funds assets. This flexibility allows theAdviserto look for investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will enhance the Funds ability to meet its objective. The Fund may also invest in exchange traded funds or exchange traded notes through which the Fund can participate in the performance of one or more Instruments. The Funds return is expected to be derived principally from changes in the value of securities and its portfolio is expected to consist principally of securities.
The Funds portfolio managers use proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity Instruments. Once a trend is determined, the Fund will take either a long or short position in the given Instrument. The owner of a long position in a derivative instrument will benefit from an increase in the price of the underlying investment. The owner of a short position in a derivative instrument will benefit from a decrease in the price of the underlying investment. The size of the position taken will relate to theAdvisersconfidence in the trend continuing as well as theAdvisersestimate of the Instruments risk. TheAdvisergenerally expects that the Fund will have exposure in long and short positions across all four major asset classes (commodities, currencies, fixed income and equities), but at any one time the Fund may emphasize one or two of the asset classes or a limited number of exposures within an asset class.
Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The Funds use of futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an Instrument and results in increasedvolatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund does not use Instruments that have a leveraging effect. Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the Funds exposure to an asset class and may cause the FundsNAVto be volatile. For example, if theAdviserseeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the class and that Instrument increases in value, the gain to the Fund will be magnified; however, if that investment decreases in value, the loss to the Fund will be magnified. A decline in the Funds assets due to losses magnified by the Instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations, to meet redemption requests or to meet asset segregation requirements when it may not be advantageous to do so. There is no assurance that the Funds use of Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.
TheAdviserexpects the FundsNAVover short-term periods to be volatile because of the significant use of Instruments that have a leveraging effect.Volatilityis a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. Highervolatilitygenerally indicates higher risk. The Funds returns are expected to be volatile; however, theAdviser, on average, will target an annualizedvolatilitylevel for the Fund of 10%. TheAdviserexpects that the Funds targeted annualized forecastedvolatilitywill typically range between 5% and 13%; however, the actual or realizedvolatilitylevel for longer or shorter periods may be materially higher or lower depending on market conditions.Actual or realizedvolatilitycan and will differ from the forecasted or targetvolatilitydescribed above.
As a result of the Funds strategy, the Fund may have highly leveraged exposure to one or more asset classes at times. The1940 Actand the rules and interpretations thereunder impose certain limitations on the Funds ability to use leverage; however, the Fund is not subject to any additional limitations on its net long and short exposures. For example, the Fund could hold instruments that provide five times the net return of a broad- or narrow-based securities index. For more information on these and other risk factors, please see the Principal Risk Factors and Investment Techniques-Asset Segregation sections of the Prospectus.
When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Funds strategy will result in frequent portfolio trading and high portfolio turnover (typically greater than 300%).
A significant portion of the assets of the Fund may be invested directly or indirectly in money market instruments, which may include, but are not be limited to, U.S. Government securities, U.S. government agency securities, short-term fixed income securities, overnight and/or fixed term repurchase agreements, money marketmutual fundshares, and cash and cash equivalents with one year or less term to maturity. These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund.
The Fund intends to make investments through theSubsidiaryand may invest up to 25% of its total assets in theSubsidiary. Generally, theSubsidiarywill invest primarily in commodity futures, but it may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the1940 Act, and other investments intended to serve as margin or collateral for theSubsidiarys derivative positions. The Fund will invest in theSubsidiaryin order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, theSubsidiarymay invest without limitation in commodity-linked derivatives, however, theSubsidiarywill comply with the same1940 Actasset coverage requirements with respect to its investments in commodity-linked derivatives that are applicable to the Funds transactions in derivatives. In addition, to the extent applicable to the investment activities of theSubsidiary, theSubsidiarywill be subject to the same fundamental investment restrictions and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, theSubsidiarywill not seek to qualify as a regulated investment company under Subchapter M of theCode. The Fund is the sole shareholder of theSubsidiaryand does not expect shares of theSubsidiaryto be offered or sold to other investors.
Risk is inherent in all investing. The value of your investment in the Fund, as well as the amount of return you receive on your investment, may fluctuate significantly from day to day and over time. You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. The following is a summary description of certain risks of investing in the Fund.
CFTC Regulation Risk:Because the Fund is a registered investment company, the Fund is presently exempt from regulation as a commodity pool under Commodity Futures Trading Commission (CFTC) Rule4.5. However, the CFTC has recently adopted amendments to CFTC Rule 4.5, which, when effective, may subject the Fund to regulation by the CFTC, and the Fund may be required to operate subject to applicable CFTC requirements, including registration, disclosure and operational requirements under the Commodity Exchange Act. Compliance with these additional requirements may increase Fund expenses. Certain of the requirements that would apply to the Fund if it becomes subject to CFTC regulation have not yet been adopted, and it is unclear what the effect of those requirements would be on the Fund if they are adopted. TheAdviserdoes not expect that compliance with CFTC regulations, if required, will materially adversely affect the ability of the Fund to achieve its objective.
Commodities Risk:Exposure to the commodities markets may subject the Fund to greatervolatilitythan investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity indexvolatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments.
Counterparty Risk:In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. Many of these derivative contracts will be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. If a privately negotiated over-the-counter contract calls for payments by the Fund, the Fund must be prepared to make such payments when due. In addition, if a counterpartys creditworthiness declines, the Fund may not receive payments owed under the contract, or such payments may be delayed under such circumstances and the value of agreements with such counterparty can be expected to decline, potentially resulting in losses by the Fund.
Credit Risk:Credit risk refers to the possibility that the issuer of the security will not be able to make principal and interest payments when due. Changes in an issuers credit rating or the markets perception of an issuers creditworthiness may also affect the value of the Funds investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value.
Currency Risk:The risk that changes in currency exchange rates will negatively affect securities denominated in, and/or receiving revenues in, foreign currencies. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Adverse changes in currency exchange rates (relative to the U.S. dollar) may erode or reverse any potential gains from the Funds investments in securities denominated in a foreign currency or may widen existing losses. The Funds net currency positions may expose it to risks independent of its securities positions.
Derivatives Risk:The use of derivative instruments exposes the Fund to additional risks and transaction costs. These instruments come in many varieties and have a wide range of potential risks and rewards, and may include futures contracts, options on futures contracts, options (both written and purchased), swaps, and forward currency exchange contracts. A risk of the Funds use of derivatives is that the fluctuations in their values may not correlate perfectly with the overall securities markets.
Emerging Market Risk:The Fund intends to have exposure to emerging markets. Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Foreign Investments Risk:Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:
The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.
Changes in foreign currency exchange rates can affect the value of the Funds portfolio.
The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.
The governments of certain countries may prohibit or impose substantial restrictions on foreign investments in their capital markets or in certain industries.
Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.
Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.
Forward and Futures Contract Risk:The successful use of forward and futures contracts draws upon theAdvisersskill and experience with respect to such instruments and are subject to special risk considerations. The primary risks associated with the use of futures contracts are (a)the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the forward or futures contract; (b)possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c)losses caused by unanticipated market movements, which are potentially unlimited; (d)theAdvisersinability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; (e)the possibility that the counterparty will default in the performance of its obligations; and (f)if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and the Fund may have to sell securities at a time when it may be disadvantageous to do so.
Hedging Transactions Risk:TheAdviserfrom time to time employs various hedging techniques.The success of the Funds hedging strategy will be subject to theAdvisersability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged. Since the characteristics of many securities change as markets change or time passes, the success of the Funds hedging strategy will also be subject to theAdvisersability to continually recalculate, readjust, and execute hedges in an efficient and timely manner. For a variety of reasons, theAdvisermay not seek to establish a perfect correlation between such hedging instruments and the portfolio holdings being hedged. Such imperfect correlation may prevent the Fund from achieving the intended hedge or expose the Fund to risk of loss. In addition, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
High Portfolio Turnover Risk:The risk that when investing on a shorter-term basis, the Fund may as a result trade more frequently and incur higher levels of brokerage fees and commissions, and cause higher levels of current tax liability to shareholders in the Fund.
Interest Rate Risk:Interest rate risk is the risk that prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase. The Fund may lose money if short term or long term interest rates rise sharply or otherwise change in a manner not anticipated by theAdviser.
Investment inOther Investment Companies Risk:As with other investments, investments in other investment companies are subject to market and selection risk. In addition, if the Fund acquires shares of investment companies, shareholders bear both their proportionate share of expenses in the Fund (including management and advisory fees) and, indirectly, the expenses of the investment companies. The Fund may invest in money marketmutual funds. An investment in a money marketmutual fundis not insured or guaranteed by a Federal Deposit Insurance Corporation or any other government agency. Although such funds seek to preserve the value of the Funds investment at $1.00 per share, it is possible to lose money by investing in a money marketmutual fund.
Leverage Risk:As part of the Funds principal investment strategy, the Fund will make investments in futures contracts, forward contracts, swaps and other derivative instruments to gain long and short exposure across four major asset classes (commodities, currencies, fixed income and equities). The futures contracts, forward contracts, swaps and certain other derivatives provide the economic effect of financial leverage by creating additional investment exposure, as well as the potential for greater loss. If the Fund uses leverage through activities such as borrowing, entering into short sales, purchasing securities on margin or on a when-issued basis or purchasing derivative instruments in an effort to increase its returns, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities, that exceeds the net assets of the Fund. The net asset value of the Fund employing leverage will be more volatile and sensitive to market movements. Leverage may involve the creation of a liability that requires the Fund to pay interest.
Manager Risk:If the Funds portfolio managers make poor investment decisions, it will negatively affect the Funds investment performance.
Market Risk:Market risk is the risk that the markets on which the Funds investments trade will increase or decrease in value. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your investment in the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Model and Data Risk:Given the complexity of the investments and strategies of the Fund, theAdviserrelies heavily on quantitative models (both proprietary models developed by theAdviser, and those supplied by third parties) and information and data supplied by third parties (Models and Data). Models and Data are used to construct sets of transactions and investments, to provide risk management insights, and to assist in hedging the Funds investments.
When Models and Data prove to be incorrect or incomplete, any decisions made in reliance thereon expose the Fund to potential risks. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful. Some of the models used by theAdviserfor the Fund are predictive in nature. The use of predictive models has inherent risks. Because predictive models are usually constructed based on historical data supplied by third parties, the success of relying on such models may depend heavily on the accuracy and reliability of the supplied historical data.
All models rely on correct market data inputs. If incorrect market data is entered into even a well-founded model, the resulting information will be incorrect. However, even if market data is input correctly, model prices will often differ substantially from market prices, especially for securities with complex characteristics, such as derivative securities.
Non-Diversified Status Risk:The Fund is a non-diversified fund. Because the Fund may invest in securities of a smaller number of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Funds performance.
Short Sale Risk:The Fund may take a short position in a derivative instrument, such as a future, forward or swap. A short position on a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses.
Subsidiary Risk:By investing in theSubsidiary, the Fund is indirectly exposed to the risks associated with theSubsidiarysinvestments. The commodity-related instruments held by theSubsidiaryare generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund (see Commodities Risk above). There can be no assurance that the investment objective of theSubsidiarywill be achieved. TheSubsidiaryis not registered under the1940 Act, and, unless otherwise noted in this prospectus, is not subject to all the investor protections of the1940 Act. However, the Fund wholly owns and controls theSubsidiary, and the Fund and theSubsidiaryare both managed by theAdviser, making it unlikely that theSubsidiarywill take action contrary to the interests of the Fund and its shareholders. The Board has oversight responsibility for the investment activities of the Fund, including its investment in theSubsidiary, and the Funds role as sole shareholder of theSubsidiary. To the extent applicable to the investment activities of theSubsidiary,theSubsidiarywill be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Fund. Unlike the Fund, theSubsidiarywill not seek to qualify as a regulated investment company under Subchapter M of theCode. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or theSubsidiaryto operate as described in this prospectus and the SAI and could adversely affect the Fund.
Swap Agreements Risk:Swap agreements involve the risk that the party with whom the Fund has entered into the swap will default on its obligation to pay the Fund and the risk that the Fund will not be able to meet its obligations to pay the other party to the agreement.
Tax Risk:In order for the Fund to qualify as a regulated investment company under Subchapter M of theCode, the Fund must derive at least 90 percent of its gross income each taxable year from qualifying income, which is described in more detail in the SAI. Income from certain commodity-linked derivative instruments in which the Fund invests is not considered qualifying income. The Fund will therefore restrict its income from direct investments in commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10 percent of its gross income.
The Funds investment in theSubsidiaryis expected to provide the Fund with exposure to the commodities markets within the limitations of the federal tax requirements of Subchapter M. The annual net profit, if any, realized by theSubsidiaryand imputed for income tax purposes to the Fund should constitute qualifying income for purposes of the Fund remaining qualified as a regulated investment company for U.S. federal income tax purposes.
U.S. Government Securities Risk:Treasury obligations may differ in their interest rates, maturities, times of issuance and other characteristics. Obligations of U.S. Government agencies and authorities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. Government. No assurance can be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated by law to