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AQR Dynamiq Allocation Indexsm AQR DynamiQ Allocation Index SM Frequently Asked Questions The AQR DynamiQ Allocation IndexSM (the “Index”) harnesses the same underlying investment research and expertise that have elevated AQR as a leader in the quantitative investment industry. The Index utilizes a multi-style and systematic rules-based methodology that: • Diversifies globally1 within two major asset classes providing exposure to 15 major markets based on their individual attractiveness • Dynamically adjusts the mix of assets underlying the Index in an effort to achieve optimal results • Actively adjusts risk2 in seeking to deliver consistent returns through a variety of market environments The AQR DynamiQ Allocation IndexSM has been designed by AQR Indices, LLC, a subsidiary of AQR Capital Management, LLC, for exclusive use in The Power Series of Index Annuities®, issued by American General Life Insurance Company (AGL). Additional information and performance results for the AQR DynamiQ Allocation IndexSM can be found at www.aqr.com/Index. Contact your AIG representative or call our Sales Desk at 888-438-6933, Option 2 to learn more. 1Diversification and risk management strategies do not guarantee positive performance or prevent negative returns. International stocks and bonds involve special risks, such as currency fluctuations, differing financial reporting and regulatory standards, and economic and political instability. These risks are highlighted when securities are from emerging markets. 2There are no assurances that any objective will be achieved. For financial professional or agent use only. Not for use with the public. AQR | FAQ 1. Who is AQR Capital Management? Over the last 22 years, AQR has established its position not only as one of the most reputable research institutions in the world, but as a leader in the quantitative investment space. They leverage the findings from their highly respected research teams to construct portfolios for a variety of clients, ranging from individual investors to some of the largest and sophisticated investors in the world. AQR manages a diverse set of investment strategies rooted in the core philosophy that well-known drivers of performance, known as factors or styles, can be utilized to construct better, more efficient portfolios. With $143 billion in assets under management (as of 3/31/2020), over 800 employees across the globe, including approximately 70 PhDs and 20 current and former professors, AQR manages money for some of the largest pensions, endowments, and sovereign wealth funds worldwide. In June 2020, AQR launched AQR Indices, LLC, an affiliated index provider, which created the AQR DynamiQ Allocation IndexSM. A few of AQR’s achievements: Academic Engagement Awards and Prizes • Nearly half of employees hold 60 Research Awards advanced degrees • Approximately 20 current and former Notable awards include: professors work at AQR • 10 Bernstein Fabozzi • AQR Asset Management Institute at Journal of Portfolio London Business School established Management Awards to promote excellence in asset • 9 Graham & Dodd Awards management • 6 Smith Breeden Awards • AQR Insight Award: annual $100,000 • 4 Dimensional Fund prize honoring unpublished papers Advisors Prizes that provide the most signigicant investment insights • 1 Fischer Black Prize • Online research library with more than • 1 Bernacer Prize 300 AQR papers, journal articles, • 1 Markowitz Journal of books and periodicals, as well as our Investment Management Award data sets As of 3/31/2020. Source: AQR, SSRN and Google Scholar. Graham & Dodd Awards won in 2018, 2015, 2011, 2005, 2004, 2003, 2000, 1998, 1991; Bernstein Fabozzi Awards won in 2020, 2018, 2015, 2014, 2013, 2012, 2005, 2004, 2003; Smith Breeden Awards won in 2010, 2008, 2002, 2000, 1998; DFA Awards won in 2016, 2014, 2008, 2005; Michael Brennan Awards won in 2014, 2013, 2005 and 2004; Fischer Black Prize won in 2007; Bernacer Prize won in 2011; Markowitz Award won in 2015. Three Smith Breeden awards were second place mentions; two DFA awards were second place mentions; one Michael Brennan award was a second place mention. 1Source: AQR. All figures approximate as of 3/31/2020; AUM includes assets managed by AQR and its advisory affiliates. Includes current and former professors. For financial professional or agent use only. Not for use with the public. AQR | FAQ 2. What is the inception date of the Index? The inception date of the Index is May 18, 2020. 3. Is the Index discretionary or rules-based? The Index uses a systematic, rules-based methodology incorporating five key styles (also known as factors): Value, Momentum, Carry, Defensive, and Trend. The first four determine positioning within each asset class, while Trend determines the overall exposure between equity and fixed income. 4. What are the underlying markets within the AQR DynamiQ Allocation IndexSM? The Index has the flexibility to allocate across 9 geographical regions for the equity portion and 6 geographical regions for the fixed income portion of the Index. The Index will adjust allocations to the regions on a monthly basis, based on relative attractiveness measured by four factors: Value, Momentum, Carry, and Defensive. Equities Fixed Income Australia Sweden Australia Canada Switzerland Canada Europe United Kingdom Germany Hong Kong United States Japan Japan United Kingdom United States AQR DynamiQ Allocation IndexSM Combines Five Distinct Styles to Help Enhance Performance Style Fundamental Theme Value Relatively cheap assets tend to outperform relatively expensive ones. An asset’s recent relative performance tends to continue in the near Momentum future. This style focuses on long-term price changes. Higher-yielding fixed income assets tend to provide higher returns than Carry lower-yielding fixed income assets. Lower-risk and higher-quality equities tend to generate higher risk- Defensive adjusted returns. For financial professional or agent use only. Not for use with the public. AQR | FAQ 5. Why does the index use a combination of 5 styles and what impact does that have on the expected performance of the Index? By combining 5 well-researched styles - Value, Momentum, Carry, Defensive and Trend—the AQR DynamiQ Allocation IndexSM is designed to harness the diversification potential of each. The result can be an overall index that is less sensitive to economic shocks and delivers a smoother, less volatile ride over the long term. When looking at almost 100 years of data, as illustrated in the below chart, a multi-style approach performs better than any one individual factor on its own. This is due to the fact that each factor has positive expected returns, and low or negative correlation between one another. A Multi-Style Approach Has Historically Provided Higher, More Consistent Returns Over Time Hypothetical Average Annual Returns, 1926-2019 Full 1926-29 1930-39 1940-49 1950-59 1960-69 1970-79 1980-89 1990-99 2000-09 2010-19 Period Trend Trend Trend Trend Multi-Style Multi-Style Multi-Style Multi-Style Trend Defensive Multi-Style 22.7% 11.7% 14.8% 20.7% 13.5% 8.5% 18.7% 11.3% 7. 4% 3.5% 11.2% Multi-Style Multi-Style Multi-Style Multi-Style Trend Trend Defensive Momentum Multi-Style Trend Trend 13.7% 11.2% 12.4% 16.7% 9.7% 7.9 % 13.3% 10.4% 7.0% 1.7% 10.4% Defensive Defensive Defensive Momentum Value Momentum Momentum Carry Defensive Momentum Momentum 10.3% 9.9% 7. 3% 9.5% 8.8% 7.1% 10.5% 7.8% 5.8% 0.5% 5.6% Momentum Value Momentum Defensive Carry Carry Trend Trend Value Multi-Style Defensive 6.8% 6.1% 6.5% 7.0% 6.3% 5.8% 8.5% 6.1% 2.2% 0.2% 5.1% Value Momentum Value Carry Defensive Value Value Value Momentum Value Value -2.5% 0.5% 4.8% 6.7% 5.4% 5.1% 7. 5% 4.9% 2.0% -1.7% 3.6% Carry Carry Carry Value Momentum Defensive Carry Defensive Carry Carry Carry -3.3% -0.1% -3.3% -3.1% 2.7% -5.8% 4.9% -2.9% -0.2% -3.3% 2.5% Value Momentum Carry Defensive Trend Multi-Style Note: Past performance is not indicative of future results. Source: AQR. This hypothetical example is for illustrative purposes only. It is intended to show the diverse performance of the individual styles used in the Index from 1926 through 2019. It does not reflect the performance of any specific investment or portfolio that AQR manages. The underlying data for the Value, Momentum, Carry, Defensive, Trend and Multi-Style factors is derived from data taken from Ilmanen, Israel, Moskowitz, Thapar & Wang (2019), “Do Factor Premia Vary Over Time? A Century of Evidence.” The full sample period starts 1/1/1926 and ends 12/31/2019. All returns are scaled to 12% volatility, gross of fees and transaction costs. For financial professional or agent use only. Not for use with the public. AQR | FAQ 6. What is the difference between “Momentum” and “Trend” and their impact in determining the Index’s allocation? Momentum is used to measure the relative price trends between geographical regions or assets, and uses longer-term price trends, typically 12 months. For example, when comparing geographical regions, say Canada and Japan, Momentum looks at the 12-month price movements between the two to determine which region has better price momentum, therefore increasing that region’s attractiveness. Momentum is utilized when determining the regional weights in each asset class. Trend uses shorter term price movements, typically 3 months, to determine the tactical allocation to equity and fixed income. See the chart below for an example as to how price trends can affect the allocation to each asset class. Equity Prices Fixed Income Prices More Equities More Fixed Income Trending Up = Trending Up = Shift Allocation Both Asset Classes More Equities & Both Asset Classes Less Equities & Trending Up = More Fixed Income Trending Down = Less Fixed Income Allocations are subject to change.
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