AQR Risk-Balanced Commodities Strategy Fund
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- daily nav $8.94
- change $0.02
- daily return 0.22%
- inception date 7/9/2012
- AUM $450MM
Investment Objective
A Diversifying Source of Returns
With historically positive returns and low correlations to traditional asset classes, 1 1 Close Source: Ari Levine, Yao Hua Ooi, Matthew Richardson and Caroline Sasseville, 2018. “Commodities for the Long Run,” Financial Analysts Journal, 74:2, 55-68. commodities can provide diversification benefits to a stocks/bonds portfolio over the long term. In contrast to stocks and bonds, commodities have historically tended to perform better when inflation goes up than when it goes down. 2 2 Close Source: Ari Levine, Yao Hua Ooi, Matthew Richardson and Caroline Sasseville, 2018. “Commodities for the Long Run,” Financial Analysts Journal, 74:2, 55-68.
Investment Approach
The Fund aims to generate positive risk-adjusted returns by allocating to assets among various commodity sectors. The Fund’s strategic allocation to sectors is risk-balanced. Under the assumptions that commodity sectors are diversifying and that no one sector is expected to outperform the others in the long run, this relative weighting scheme is expected to have higher long-term risk-adjusted returns. The Fund also uses a variety of tactical signals to over- and underweight sectors and individual commodities relative to this strategic allocation. In order to balance risk through time, the Fund varies the portfolio’s total level of exposure based on proprietary risk estimates.
Why Invest in the AQR Risk-Balanced Commodities Strategy Fund?
Diversification Across Assets
Risk-Managed Strategy
Active Views
Risk Allocation
As of March 31, 2024
| % of Risk Allocation | |
|---|---|
| Total Energies Risk | 29.14% |
| Total Precious Metals Risk | 19.52% |
| Total Industrial Metals Risk | 15.97% |
| Total Grains Risk | 15.58% |
| Total Softs Risk | 10.01% |
| Total Alts Risk | 7.67% |
| Total Livestock Risk | 2.12% |
| Total | 100.00% |
Portfolio Statistics
As of March 31, 2024
| Beta of Fund to Bloomberg Commodity TR Index | 1.12 |
|---|---|
| Beta of Fund to S&P GSCI | 0.72 |
| Current Fund Target Volatility | 14.81% |
All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities. Please see disclosure section for a glossary of industry terms.
Risk allocation is calculated as the relative weight of the expected volatilities for each asset class or strategy, with a sum equal to 100%. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
AQR Risk-Balanced Commodities Strategy Fund: Commodities and futures generally are volatile and involve a high degree of risk. The fund may 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. Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase and may cause losses. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
Annualized Total Returns
As of March 29, 2024
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 7/9/2012 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Risk Balanced Commodities Strategy Fund | 6.56% | 1.93% | 0.24% | 16.44% | 15.75% | 3.65% | 2.35% | 1.07% | 1.04% |
| Bloomberg Commodity Total Return Index | 3.31% | 2.19% | -0.56% | 9.11% | 6.38% | -1.56% | -1.64% |
| AQR Risk Balanced Commodities Strategy Fund | Bloomberg Commodity Total Return Index | |
|---|---|---|
| MTD | 6.56% | 3.31% |
| YTD | 1.93% | 2.19% |
| 1YR | 0.24% | -0.56% |
| 3YR | 16.44% | 9.11% |
| 5YR | 15.75% | 6.38% |
| 10YR | 3.65% | -1.56% |
| Since Inception 7/9/2012 | 2.35% | -1.64% |
| Gross Expense Ratio | 1.07% | |
| Net Expense Ratio* | 1.04% |
As of March 29, 2024
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 7/9/2012 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Risk Balanced Commodities Strategy Fund | 1.93% | 1.93% | 0.24% | 16.44% | 15.75% | 3.65% | 2.35% | 1.07% | 1.04% |
| Bloomberg Commodity Total Return Index | 2.19% | 2.19% | -0.56% | 9.11% | 6.38% | -1.56% | -1.64% |
| AQR Risk Balanced Commodities Strategy Fund | Bloomberg Commodity Total Return Index | |
|---|---|---|
| QTD | 1.93% | 2.19% |
| YTD | 1.93% | 2.19% |
| 1YR | 0.24% | -0.56% |
| 3YR | 16.44% | 9.11% |
| 5YR | 15.75% | 6.38% |
| 10YR | 3.65% | -1.56% |
| Since Inception 7/9/2012 | 2.35% | -1.64% |
| Gross Expense Ratio | 1.07% | |
| Net Expense Ratio* | 1.04% |
The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2024. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.
Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
The Bloomberg Commodity Total Return index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM. This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills.
AQR Risk-Balanced Commodities Strategy Fund: Commodities and futures generally are volatile and involve a high degree of risk. The fund may 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. Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase and may cause losses. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
Cliff Asness
Managing & Founding Principal
- 32 years of experience
- 26 years at AQR
Ph.D., M.B.A., University of Chicago
B.S., B.S., University of Pennsylvania
Jordan Brooks
Principal
- 15 years of experience
- 15 years at AQR
Ph.D., M.A., New York University
B.A., Boston College
Yao Hua Ooi
Principal
- 19 years of experience
- 19 years at AQR
B.S., B.S., University of Pennsylvania
John M. Liew
Founding Principal
- 31 years of experience
- 26 years at AQR
Ph.D., M.B.A., University of Chicago
B.A., University of Chicago
Erik Stamelos
- 20 years of experience
- 9 years at AQR
A.B., Harvard University
Investment Minimums
| Individual Investors | $5 Million |
|---|---|
| Institutional Investors | None |
| Accounts Offered by Financial Advisors | None |
Shareholder Fees
| Sales Load | None |
|---|---|
| Deferred Sales Load | None |
| Redemption Fees | None |
Annual Fund Operating Expenses
| Management Fee | 0.80% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 0.01% |
| All Other Expenses | 0.23% |
| Acquired Fund Fees | 0.03% |
| Gross Expenses | 1.07% |
| Less: Expense Reimbursements | 0.03% |
| Net Expenses* | 1.04% |
AQR Risk-Balanced Commodities Strategy Fund: Commodities and futures generally are volatile and involve a high degree of risk. The fund may 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. Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase and may cause losses. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
| Adjusted Expense Ratio** | 1.03% |
|---|
**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowing and repurchase agreements and dividend expenses from investments on short sales, incurred directly by the Fund, none of which are paid to the Advisor.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Information about how each Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 will be available no later than August 31. Please click here to view the most recent Form N-PX for the AQR Funds.
PRINCIPAL RISKS:
Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility described above.
Commodities and futures generally are volatile and involve a high degree of risk. The fund may 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. Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase and may cause losses. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs. This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique. Risk allocation and attribution are based on estimated data, and may be subject to change.
Definitions:
Current Beta of Fund to Index: A forward-looking measure of the amount the fund is expected to move given a move in the specified Index, based on AQR proprietary risk models. A beta of 1 indicates that if the index moves 10%, the fund is expected to move, on average, 10% over the same period. A beta of more than 1 indicates the fund is expected to move, on average, more than 10% in that case, and a beta of less than one indicates the fund is expected to move less than 10% in that case.
Futures Contract: An exchange-traded standardized contract to buy or sell a specified asset in the future for a price agreed today.
Roll Yield: The percentage difference in price between two futures contracts for different delivery dates. Represents the difference between spot price returns and the returns to holding futures.
S&P GSCI Commodity Index: a composite index of commodity sector returns representing an unleveraged, long only investment in commodity futures that is broadly diversified across the spectrum of commodities.
Volatility: A statistical measure of the variation in returns for a given security or index. Investors should carefully consider the investment objectives, risks, charges and expenses.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus or summary prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
View definitions of benchmarks and other terms used here.
Diversification does not eliminate risk. Indexes are unmanaged and one cannot invest directly in an index.
Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.
The information provided herein (including any separate documents that may be accessed through this website) is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AQR Capital Management, LLC (“AQR Capital”) nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement investor, contact your financial advisor or other fiduciary unrelated to AQR about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances.
There are risks involved with investing including the possible loss of principal.
Past performance does not guarantee future results.
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