AQR Risk-Balanced Commodities Strategy Fund
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- daily nav $9.39
- change $0.00
- daily return 0.00%
- inception date 9/2/2014
- AUM $738MM
Investment Objective
Fund Overview
The Fund primarily invests in a portfolio of commodity futures contracts, seeking to balance risks through time and across commodity sectors. Additionally, the Fund seeks to tactically increase or decrease exposure to markets as determined by AQR’s investment models.
Why Invest in the AQR Risk-Balanced Commodities Strategy Fund?
Diversified Exposure to Commodites
Aims to include more commodity markets and to be more diversified across sectors than conventional approaches.
Active Risk-Managed Allocation
Uses AQR's proprietary investment signals to over- or underweight commodities and sectors based on their attractiveness.
Portfolio Diversification
Commodities have historically provided a hedge against inflation and returns that are diversifying to traditional asset classes.
Risk Allocation
As of December 31, 2024
| % of Risk Allocation | |
|---|---|
| Total Energies Risk | 26.80% |
| Total Grains Risk | 16.71% |
| Total Precious Metals Risk | 16.25% |
| Total Industrial Metals Risk | 15.69% |
| Total Alts Risk | 13.17% |
| Total Softs Risk | 9.31% |
| Total Livestock Risk | 2.09% |
| Total | 100.00% |
Portfolio Statistics
As of December 31, 2024
| Beta of Fund to Bloomberg Commodity TR Index | 1.02 |
|---|---|
| Beta of Fund to S&P GSCI | 0.68 |
| Current Fund Target Volatility | 13.39% |
All Fund statistics are subject to change and should not be considered a recommendation to buy or sell securities.
Risk allocations are calculated as the relative weight of the expected volatilities for each strategy, with a sum equal to 100% across all strategies. AQR calculates expected volatilities for each strategy using proprietary risk models to predict volatilities and correlations across all assets in the portfolio.
Annualized Total Returns
As of February 28, 2025
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 9/2/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Risk Balanced Commodities Strategy Fund | -1.41% | 3.99% | 16.82% | 5.67% | 18.91% | 7.86% | 5.12% | 0.98% | 0.94% |
| Bloomberg Commodity Index Total Return | 0.78% | 4.76% | 11.60% | 0.71% | 10.56% | 1.84% | - |
| AQR Risk Balanced Commodities Strategy Fund | Bloomberg Commodity Index Total Return | |
|---|---|---|
| MTD | -1.41% | 0.78% |
| YTD | 3.99% | 4.76% |
| 1YR | 16.82% | 11.60% |
| 3YR | 5.67% | 0.71% |
| 5YR | 18.91% | 10.56% |
| 10YR | 7.86% | 1.84% |
| Since Inception 9/2/2014 | 5.12% | -0.92% |
| Gross Expense Ratio | 0.98% | |
| Net Expense Ratio* | 0.94% |
As of December 31, 2024
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 9/2/2014 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Risk Balanced Commodities Strategy Fund | -0.50% | 7.62% | 7.62% | 9.28% | 14.60% | 7.17% | 4.81% | 0.98% | 0.94% |
| Bloomberg Commodity Index Total Return | -0.45% | 5.38% | 5.38% | 4.05% | 6.77% | 1.28% | - |
| AQR Risk Balanced Commodities Strategy Fund | Bloomberg Commodity Index Total Return | |
|---|---|---|
| QTD | -0.50% | -0.45% |
| YTD | 7.62% | 5.38% |
| 1YR | 7.62% | 5.38% |
| 3YR | 9.28% | 4.05% |
| 5YR | 14.60% | 6.77% |
| 10YR | 7.17% | 1.28% |
| Since Inception 9/2/2014 | 4.81% | -1.30% |
| Gross Expense Ratio | 0.98% | |
| Net Expense Ratio* | 0.94% |
The performance data quoted represents past performance. Past performance does not guarantee future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
Source: AQR, JP Morgan. All returns for periods longer than a year are annualized. Benchmark is represented by Bloomberg Commodity Total Return Index. Indices are unmanaged, and one cannot invest in an index. See Disclosures for definitions.
*AQR Capital Management, LLC ("AQR" or the "Adviser") has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2025. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.
Cliff Asness
Managing & Founding Principal
Ph.D., M.B.A., University of Chicago
B.S., B.S., University of Pennsylvania
John M. Liew
Founding Principal
Ph.D., M.B.A., University of Chicago
B.A., University of Chicago
Jordan Brooks, Ph.D.
Principal
Ph.D., M.A., New York University
B.A. Boston College
Erik Stamelos
A.B., Harvard University
James Asselin
Charterholder, CFA Institute
B.S., Cornell University
Fred Liu
M.S., Cornell University
B.B.A., University of Texas - Austin
James Lofton
B.A., University of Pennsylvania
Investment Minimums
| Individual Investors | Not Available |
|---|---|
| Institutional Investors | $100,000 |
| Accounts Offered by Financial Advisors | $50 million or $100 million aggregate investment across all series of the Trust |
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 | 0.14% |
| Acquired Fund Fees | 0.03% |
| Gross Expenses | 0.98% |
| Less: Expense Reimbursements | 0.04% |
| Net Expenses* | 0.94% |
| Adjusted Expense Ratio*,** | 0.93% |
|---|
*AQR Capital Management, LLC ("AQR" or the "Adviser") has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2025. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.
**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowings and repurchase agreements and dividend expense from investments on short sales, incurred directly by the Fund.
Principal Risks:
An investment in the Fund is subject to risks, including the possibility that the value of the Fund’s 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 U.S. or abroad. Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money.
The use of derivatives, including swaps, forward and futures contracts, and investments in 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 takes short positions in derivative instruments. A short position in a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument, which could cause the Fund to suffer a (potentially unlimited) loss. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Fund is 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 Fund. This Fund is a non diversified fund. Because the Fund may invest in securities of smaller numbers of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Fund’s Performance.
The Fund is not suitable for all investors. An investor considering the Fund should be able to tolerate potentially wide price fluctuations. There are risks involved with investing including the possible loss of principal. Past performance does not guarantee future results. Diversification does not eliminate the risk of experiencing investment losses. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person without AQR’s written consent.
Definitions:
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.
Beta is a measure of how sensitive a fund or security’s returns are to changes in a benchmark index. A beta greater than 1 indicates a higher sensitivity to benchmark moves, and a beta less than 1 indicates a lower sensitivity to benchmark moves.
Volatility is a statistical measure of the variation in returns for a given security or index.
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.
© 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.
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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