AQR Risk-Balanced Commodities Strategy Fund

ARCIX
  • daily nav $6.24
  • change $0.02
  • daily return 0.32%
  • inception date 7/9/2012
  • AUM $253MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks total return. Total return consists of capital appreciation and income

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?

Risk-Balanced across Sectors
The Fund balances risk across commodity sectors, seeking to maintain diversification, ensuring that no one sector dominates returns. This strategic sector allocation may deliver higher risk-adjusted returns.
Risk-Balanced through Time
The Fund aims to maintain a targeted level of volatility by varying the portfolio’s total exposure. This aims to prevent the market from dictating how much risk is taken in the Fund.
Tactical Asset Allocation
The Fund is actively managed, utilizing a variety of tactical signals to over/underweight sectors and individual commodities relative to the strategic allocation.
  Portfolio Characteristics

Risk Allocation

As of September 30, 2019

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% of Risk Allocation
Total Precious Metals Risk 23.29%
Total Grains Risk 21.57%
Total Industrial Metals Risk 19.42%
Total Energies Risk 19.17%
Total Softs Risk 10.92%
Total Livestock Risk 5.63%
Total 100.00%

Portfolio Statistics

As of September 30, 2019

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Beta of Fund to Bloomberg Commodity TR Index 1.17
Beta of Fund to S&P GSCI 0.49
Current Fund Target Volatility 17.28%
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk-Balanced Commodities Strategy Fund -2.69% 9.03% 7.65% -0.90% -2.24% -5.66% 1.04% 1.04%
Bloomberg Commodity TR Index -2.56% 2.52% -4.54% -1.97% -6.36% -7.03%
AQR Risk-Balanced Commodities Strategy Fund Bloomberg Commodity TR Index
QTD -2.69 % -2.56 %
YTD 9.03 % 2.52 %
1YR 7.65 % -4.54 %
3YR -0.9 % -1.97 %
5YR -2.24 % -6.36 %
Since Inception 7/9/2012 -5.66 % -7.03 %
Gross Expense Ratio 1.04%
Net Expense Ratio* 1.04%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk-Balanced Commodities Strategy Fund 1.34% 7.43% -0.81% -0.89% -3.81% -5.97% 1.04% 1.04%
Bloomberg Commodity TR Index -1.84% 3.13% -6.57% -1.50% -7.18% -7.11%
AQR Risk-Balanced Commodities Strategy Fund Bloomberg Commodity TR Index
QTD 1.34 % -1.84 %
YTD 7.43 % 3.13 %
1YR -0.81 % -6.57 %
3YR -0.89 % -1.50 %
5YR -3.81 % -7.18 %
Since Inception 7/9/2012 -5.97 % -7.11 %
Gross Expense Ratio 1.04%
Net Expense Ratio* 1.04%
  Managers

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 $5 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 0.80%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales None
     All Other Expenses 0.19%
Acquired Fund Fees 0.05%
Gross Expenses 1.04%
Less: Fee Waivers and/or Expense Reimbursements 0.00%
Net Expenses* 1.04%
  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:
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.

 

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.
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