AQR Risk-Balanced Commodities Strategy Fund

ARCNX
  • daily nav $8.29
  • change $0.07
  • daily return 0.85%
  • inception date 7/9/2012
  • AUM $193MM

As of June 18, 2021

  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 Targeted 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 March 31, 2021

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% of Risk Allocation
Total Energies Risk 22.32%
Total Industrial Metals Risk 22.15%
Total Grains Risk 20.67%
Total Precious Metals Risk 19.08%
Total Softs Risk 9.44%
Total Livestock Risk 6.33%
Total 100.00%

Portfolio Statistics

As of March 31, 2021

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Beta of Fund to Bloomberg Commodity TR Index 1.17
Beta of Fund to S&P GSCI 0.67
Current Fund Target Volatility 19.22%
  Performance

Annualized Total Returns

As of May 31, 2021

MTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Balanced Commodities Strategy Fund 4.84% 28.44% 81.18% 9.26% 9.19% -0.49% 1.42% 1.28%
Bloomberg Commodity TR Index 2.73% 18.94% 46.22% 2.05% 2.85% -
AQR Risk Balanced Commodities Strategy Fund Bloomberg Commodity TR Index
MTD 4.84% 2.73%
YTD 28.44% 18.94%
1YR 81.18% 46.22%
3YR 9.26% 2.05%
5YR 9.19% 2.85%
Since Inception 7/9/2012 -0.49% -3.84%
Gross Expense Ratio 1.42%
Net Expense Ratio* 1.28%

As of March 31, 2021

QTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Risk Balanced Commodities Strategy Fund 9.19% 9.19% 59.34% 5.02% 7.08% -2.33% 1.42% 1.28%
Bloomberg Commodity TR Index 6.92% 6.92% 35.04% -0.20% 2.31% -
AQR Risk Balanced Commodities Strategy Fund Bloomberg Commodity TR Index
QTD 9.19% 6.92%
YTD 9.19% 6.92%
1YR 59.34% 35.04%
3YR 5.02% -0.20%
5YR 7.08% 2.31%
Since Inception 7/9/2012 -2.33% -5.08%
Gross Expense Ratio 1.42%
Net Expense Ratio* 1.28%
  Managers

Ronen Israel

Principal

  • 25 years of experience
  • 21 years at AQR

M.A., Columbia University

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

Lars Nielsen

Lars N. Nielsen

Principal

  • 21 years of experience
  • 21 years at AQR

M.S., B.S., University of Copenhagen

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
Individual Investors $1 Million
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 0.25%
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.34%
Acquired Fund Fees 0.03%
Gross Expenses 1.42%
Less: Fee Waivers and/or Expense Reimbursements 0.14%
Net Expenses* 1.28%
  Documents

Fund Literature

Fund Reporting

  • Complete Holdings

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.

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.