Active and Passive Investing

Invest in Thoughtful Performance Attribution Manager outperformance could be due to style biases, not security selection 11) View Intraday Main View Port Model Factor based Item Portfolio Benchmark 8 4 Holdings Summary Total Return 12.39 3.30 Active 9.09 Click a number to see breakdown Total Return(Active) 12 10 12) Actions - 13) Settings - Trade Simulati Characteristics Tracking Error/Volatility Country Factor Contributors Factor 1. Style: US Momentu 2. Style: US Growth (AOR Trends VS Unit 3. Industry: US Softwar (1) 5 Notices SPDR S&P500 Percentage Return Factor Selection Effe 12.85 Industry Top 6 Factor Contributors Active Exp 1.09 3.78 9.07 1.64 0.43 by GICS Sectors in USD Risk Model US Equity Fundam Click chart bars to drill down -0.46 -0.48 0.01 Style VaR Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe Japan 81 3 3201 8900 Singapore 65 6212 1000 Country 3.48 3.49 -0.01 Factor Rtn Factor Cont 5.77 6.77 4. Sty 4.49 5. Style 2.66 2.89 1.27 6. Style: Scenarios 44 20 7330 7500 Ge U.S. 1 212 318 200 SN 255480 E Time Custo Factor Group Return Contribution Industry -1.40 0.38 -1.79 Returns (%) 11 Portfolio Benchmark Active 9 7 1 -1 -3 Don't pay alpha fees for alternative beta Performance Portfolio & Risk Analytics Attribution 12/31/14 Style 10.70 -0.11 10.81 Currency Time Return 0.02 0.02 0.00 Return Contrib 07/31/15 0.00 0.06 Total Return 12.39 3.30 9.09 Country ● Exposure Return Factor 12.85 3.78 9.07 Holdings-based attribution for a catalyst- driven, fundamental equity manager Industry Selection -0.46 -0.48 0.01 Country Industry 3.48 -1.40 Style Factor Group Return Contribution 3.49 -0.01 0.38 -1.79 FX/Other Style 10.70 -0.11 10.81 FX/Other 0.08 0.02 0.06 Selection Effect Source: AQR, Bloomberg. Charts are for illustrative purposes only. Not to be construed as a recommendation or investment advice. Notre presentative of a portfolio that AQR currently manages. 252/635 16

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