AQR Managed Futures Strategy Fund

AQMNX
  • daily nav $8.23
  • change $0.05
  • daily return 0.61%
  • inception date 1/5/2010
  • AUM $4,498MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks positive absolute returns.

An Alternative Approach for Building Better Portfolios

As part of a strategic asset allocation, Managed Futures has the potential to improve the long-term return and risk characteristics of a traditional portfolio, with the potential to perform when markets go from good to great, or bad to worse.

Investment Approach

We invest in over 100 liquid futures and forwards contracts, both long and short, across global equities, fixed income, currencies and commodities. Trades are executed based on trend-following signals that aim to go long rising markets and short falling markets.

By establishing “long” positions in assets that we believe will rise in price, and “short” positions for assets that are expected to decline in price, this Fund seeks to benefit from both up and down price movements.

What distinguishes AQR’s approach to managed-futures investing is our emphasis on diversification across several themes:

  • Signal Types — combines short-term, long-term and overextended signals to follow trends and anticipate reversals
  • Investments — trades over 100 liquid contracts across four major asset classes
  • Risk — position sizes based on risk, allocating more capital to less-risky instruments 

AQR’s proprietary trading algorithms and direct market access enable us to minimize transaction costs — another key differentiator for investors.

Why Invest in the AQR Managed Futures Strategy Fund?

A Diversifying Source of Returns
The Fund may provide investors an additional opportunity for positive returns at a time when traditional assets, such as stocks and bonds, may be struggling. Adding diversifying sources of returns may help to reduce a portfolio’s overall volatility as well as improve returns.
Opportunity to Perform in Bull and Bear Markets
In prolonged down markets, the Fund tends to position itself “short” as markets begin to decline, seeking to profit if markets continue to fall. Similarly, in sustained up markets, the Fund tends to position itself “long” and aims to profit if the rise continues.
Potential to Manage Downside Risk
Trend following has historically performed positively during severe and prolonged market downturns, helping investors when they needed a diversifying return source most.
  Portfolio Characteristics

Asset Class Exposure

As of September 30, 2019

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% of Risk Allocation
Commodities 19.36%
Currencies 21.95%
Equities 29.62%
Fixed Income 29.07%

Top Active Positions by Asset Class

As of September 30, 2019

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Commodities % of Risk Allocation
Gold Future 4.04%
WTI Crude Oil Future 2.32%
Corn Future 1.97%
Total Commodities 8.34%
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Currencies % of Risk Allocation
EUR vs USD 7.84%
NZD vs USD 3.71%
KRW vs USD 2.85%
Total Currencies 14.40%
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Equities % of Risk Allocation
SPI 200 Index Future 3.74%
CAC40 Index Future 2.83%
DJ Euro Stoxx 50 Future 2.81%
Total Equities 9.38%
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Fixed Income % of Risk Allocation
Eurodollar Future 2.70%
U.S. 5 Yr Treasury Note Future 2.27%
U.S. Ultra Long Bond Future 2.15%
Total Fixed Income 7.11%
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Total 39.23%

Portfolio Statistics

As of September 30, 2019

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Realized Beta Since Inception to S&P 500 0.02
Realized Beta Since Inception to BarCap Agg 0.49
Realized Since Inception Volatility 9.20%
Realized Since Inception Sharpe Ratio 0.02
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 1/5/2010 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy Fund -0.84% -0.12% 0.00% -3.66% -3.02% 0.02% 1.47% 1.47%
ICE BofAML US 3M T-Bill 0.12% 2.13% 2.32% 1.63% 1.05% 0.57%
AQR Managed Futures Strategy Fund ICE BofAML US 3M T-Bill
QTD -0.84 % 0.12 %
YTD -0.12 % 2.13 %
1YR 0 % 2.32 %
3YR -3.66 % 1.63 %
5YR -3.02 % 1.05 %
Since Inception 1/5/2010 0.02 % 0.57 %
Gross Expense Ratio 1.47%
Net Expense Ratio* 1.47%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR Since Inception 1/5/2010 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy Fund 2.13% 4.35% -2.04% -4.85% -0.93% 0.48% 1.47% 1.47%
ICE BofAML US 3M T-Bill 0.57% 1.81% 2.39% 1.54% 0.98% 0.55%
AQR Managed Futures Strategy Fund ICE BofAML US 3M T-Bill
QTD 2.13 % 0.57 %
YTD 4.35 % 1.81 %
1YR -2.04 % 2.39 %
3YR -4.85 % 1.54 %
5YR -0.93 % 0.98 %
Since Inception 1/5/2010 0.48 % 0.55 %
Gross Expense Ratio 1.47%
Net Expense Ratio* 1.47%
  Managers

Cliff Asness

Managing & Founding Principal

  • 27 years of experience
  • 21 years at AQR

Ph.D., M.B.A., University of Chicago

B.S., B.S., University of Pennyslvania

John M. Liew

Founding Principal

  • 26 years of experience
  • 21 years at AQR

Ph.D., M.B.A., University of Chicago

B.A., University of Chicago

Brian K. Hurst

Principal

  • 25 years of experience
  • 21 years at AQR

B.S., University of Pennsylvania

Yao Hua Ooi

Principal

  • 15 years of experience
  • 15 years at AQR

B.S., B.S., University of Pennsylvania

Ari Levine

Principal

  • 12 years of experience
  • 12 years at AQR

B.S., University of Pennsylvania

  Fees & Minimums

Investment Minimums

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Individual Investors $1 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

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Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

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Management Fee 1.05%
Distribution (12b-1) Fee 0.25%
Other Expenses  
     Dividends On Short Sales None
     All Other Expenses 0.15%
Acquired Fund Fees 0.02%
Gross Expenses 1.47%
Less: Fee Waivers and/or Expense Reimbursements 0.00%
Net Expenses* 1.47%
  Documents

Fund Literature

Fund Reporting

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:
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. Concentration generally will lead to greater price volatility. 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. Risk allocation and attribution are based on estimated data, and may be subject to change. Diversification does not eliminate risk. 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.

Definitions:
Realized Beta of Fund to Index: A measure of the amount the fund has tended to move given a move in the specified Index, using three-day overlapping returns. A beta of 1 indicates that if the index has moved 10% over a three-day period, the fund has tended to move, on average, 10% over the same period. A beta of more than 1 indicates the fund has tended to move, on average, more than 10% in that case, and a beta of less than one indicates the fund has tended to move less than 10% in that case. Realized Sharpe Ratio: a ratio which measures risk-adjusted performance. Realized Volatility: the standard deviation of the compounded returns of a financial instrument within a specific time horizon.

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.

 

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.

Performance shown prior to a share class’s inception date reflects the historical performance of the Fund’s Class I shares, calculated using the fees and expenses of the Class N or Class R6 shares, respectively.

© 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 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.

The Adviser has contractually agreed to reimburse operating expenses of the Funds at least through January 28, 2020 for, Large Cap Defensive Style Fund, International Defensive Style Fund, Emerging Defensive Style Fund, Large Cap Momentum Style Fund, Small Cap Momentum Style Fund, International Momentum Style Fund, TM Large Cap Momentum Style Fund, TM Small Cap Momentum Style Fund, TM International Momentum Style Fund, Large Cap Multi-Style Fund, Small Cap Multi-Style Fund, International Multi-Style Fund, Emerging Multi-Style Fund, TM Large Cap Multi-Style Fund, TM Small Cap Multi-Style Fund, TM International Multi-Style Fund, TM Emerging Multi-Style Fund, Large Cap Relaxed Constraint Equity Fund, International Relaxed Constraint Equity Fund, Emerging Relaxed Constraint Equity Fund, Global Equity Fund, International Equity Fund, Core Plus Bond Fund and April 30, 2020 for Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund,  Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Style Premia Alternative Fund, Style Premia Alternative LV Fund, Volatility Risk, Premium Fund, Multi-Asset Fund, Risk Parity II HV Fund, Risk Parity II MV Fund. For additional details on annual fund operating expenses for each Fund, please see the underlying Funds’ prospectus.

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.
©2019 AQR Funds. All rights reserved.