AQR Managed Futures Strategy HV Fund

QMHIX
  • daily nav $6.89
  • change $-0.09
  • daily return -1.29%
  • inception date 7/16/2013
  • AUM $112MM

As of June 18, 2021

  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. The Fund's strategy targets 15% annual volatility.

Why Invest in the AQR Managed Futures Strategy HV 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 March 31, 2021

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% of Risk Allocation
Commodities 34.21%
Fixed Income 33.15%
Equities 18.79%
Currencies 13.85%

Top Active Positions by Asset Class

As of March 31, 2021

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Commodities % of Risk Allocation
WTI Crude Oil Future 5.12%
Brent Crude Future 4.64%
Heating Oil ULSD Future 3.36%
Total Commodities 13.11%
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Currencies % of Risk Allocation
CHF vs USD 4.08%
NZD vs USD 4.01%
JPY vs USD 3.67%
Total Currencies 11.75%
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Equities % of Risk Allocation
Hang Seng Index Future 3.16%
HSCEI China Index Future 3.10%
FTSE China A50 Index Future 1.49%
Total Equities 7.75%
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Fixed Income % of Risk Allocation
U.S. 20 Yr Treasury Note Future 3.87%
U.S. Ultra Long Bond Future 3.82%
Euro Buxl - 30 Yr Bond Future 3.48%
Total Fixed Income 11.17%
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Total 43.78%

Portfolio Statistics

As of March 31, 2021

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Realized Beta Since Inception to S&P 500 -0.03
Realized Beta Since Inception to BarCap Agg 0.69
Realized Since Inception Volatility 13.97%
Realized Since Inception Sharpe Ratio -0.07
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR Since Inception 7/16/2013 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy HV Fund 1.79% 6.80% 2.49% 0.92% -3.51% 0.05% 1.78% 1.68%
ICE BofAML US 3M T-Bill 0.00% 0.03% 0.11% 1.40% 1.18% 0.78%
AQR Managed Futures Strategy HV Fund ICE BofAML US 3M T-Bill
MTD 1.79% 0.00%
YTD 6.80% 0.03%
1YR 2.49% 0.11%
3YR 0.92% 1.40%
5YR -3.51% 1.18%
Since Inception 7/16/2013 0.05% 0.78%
Gross Expense Ratio 1.78%
Net Expense Ratio* 1.68%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR Since Inception 7/16/2013 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy HV Fund 4.49% 4.49% -0.86% -1.54% -5.07% -0.24% 1.78% 1.68%
ICE BofAML US 3M T-Bill 0.02% 0.02% 0.12% 1.50% 1.19% 0.79%
AQR Managed Futures Strategy HV Fund ICE BofAML US 3M T-Bill
QTD 4.49% 0.02%
YTD 4.49% 0.02%
1YR -0.86% 0.12%
3YR -1.54% 1.50%
5YR -5.07% 1.19%
Since Inception 7/16/2013 -0.24% 0.79%
Gross Expense Ratio 1.78%
Net Expense Ratio* 1.68%
  Managers

Cliff Asness

Managing & Founding Principal

  • 29 years of experience
  • 23 years at AQR

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

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

John M. Liew

Founding Principal

  • 28 years of experience
  • 23 years at AQR

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

B.A., University of Chicago

Ari Levine

Principal

  • 13 years of experience
  • 13 years at AQR

B.S., B.S.E., M.S.E., University of Pennsylvania

Yao Hua Ooi

Principal

  • 16 years of experience
  • 16 years at AQR

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

  Fees & Minimums

Investment Minimums

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Institutional Investors None
Accounts Offered by Financial Advisors None
Individual Investors $5 Million

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 1.45%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.01%
     All Other Expenses 0.30%
Acquired Fund Fees 0.02%
Gross Expenses 1.78%
Less: Fee Waivers and/or Expense Reimbursements 0.10%
Net Expenses* 1.68%
Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 1.67%
  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.

The Adviser expects that the Fund’s targeted annualized forecasted volatility will typically range between 7% and 20%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target Volatility described above.

 

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.

Investment in any of the funds described on this website carries substantial risk, including the possible loss of principal. There is no guarantee that the investment objectives of the funds will be achieved and returns may vary significantly over time. Investment in the funds described on this website is not suitable for all investors. Not all funds or share classes are available to all investors.

Fund offering documents contain risk warnings that are specific to each fund. Investors should only invest in a fund once they have thoroughly reviewed the prospectus and Key Investor Information Document (“KIID”) for the fund and carefully considered the relevant investment objectives, risks, charges and fees. Investors may wish to consult an independent financial advisor for personal and specific investment advice before investing.

Umbrella Fund:
The Fund is a sub-fund of AQR UCITS Funds, a Luxembourg based UCITS of which the management company is FundRock Management Company S.A.

The information contained on this website is for informational purposes only and does not constitute an offer or invitation to buy, sell or otherwise transact in any security. The information on this site is directed only at persons or entities in any jurisdiction or country where such access to information contained on this website and use of such information is not contrary to local law or regulation. Accordingly, all persons who access this website are required to inform themselves of and to comply with any such restrictions. The prospectus, KIID and the latest periodic reports for each fund are available free of charge.

Past performance does not guarantee future results.

AQR Capital Management (Europe) LLP, a U.K. limited liability partnership, is authorized by the U.K. Financial Conduct Authority (“FCA”) for advising on investments (except on Pension Transfers and Pension Opt Outs), arranging (bringing about) deals in investments, dealing in investments as agent, managing a UCITS, managing an unauthorized AIF and managing investments. This material has been approved to satisfy UK FCA COBS 4.

The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, insolvency and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Commodity prices react, among other things, to economic factors such as changing supply and demand relationships, weather conditions and other natural events, all of which may affect your investment.

The Fund is exposed to the currency markets which may be highly volatile. Large price swings can occur in such markets within very short periods and may result in your investment suffering a loss.

The Fund may be exposed to liquidity risk where, due to a lack of marketability, the Fund’s investments cannot be bought or sold quickly enough to prevent or minimize a loss.

The Fund is exposed to concentration risk as it may have increased exposure to a particular asset, reference rate or index. A fall in value of the asset, reference rate or index can result in a greater loss to the Fund which may be more than the amount borrowed or invested.

Your investment in the Fund is not guaranteed and is at risk. You may lose some or all of your investment.

The Fund relies upon the performance of the investment manager of the Fund. If the investment manager performs poorly the value of your investment is likely to be adversely affected.

More information in relation to risks in general may be found in the “Risk Factors” section of the prospectus.