AQR Managed Futures Strategy HV Fund

QMHIX
  • daily nav $7.50
  • change $0.04
  • daily return 0.54%
  • inception date 7/16/2013
  • AUM $250MM

As of September 18, 2020

  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 June 30, 2020

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
% of Risk Allocation
Fixed Income 36.69%
Equities 28.06%
Commodities 17.78%
Currencies 17.47%

Top Active Positions by Asset Class

As of June 30, 2020

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Commodities % of Risk Allocation
Gold Future 5.60%
Mini Natural Gas Future 5.36%
Soybean Future 1.42%
Total Commodities 12.38%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Currencies % of Risk Allocation
AUD vs USD 5.59%
GBP vs USD 4.75%
CAD vs USD 4.21%
Total Currencies 14.54%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Equities % of Risk Allocation
KOSPI 200 Index Future 6.26%
Nikkei 225 Index Future 3.12%
Japan Topix Index Future 2.88%
Total Equities 12.25%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Fixed Income % of Risk Allocation
U.K. 10 Yr Gilt Future 3.18%
Italy 10Yr BTP Future 3.10%
U.S. 2 Yr Treasury Note Future 2.58%
Total Fixed Income 8.86%
{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Total 48.04%

Portfolio Statistics

As of June 30, 2020

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Realized Beta Since Inception to S&P 500 -0.04
Realized Beta Since Inception to BarCap Agg 0.72
Realized Since Inception Volatility 14.08%
Realized Since Inception Sharpe Ratio -0.11
  Performance

Annualized Total Returns

As of August 31, 2020

MTD YTD 1YR 3YR 5YR Since Inception 7/16/2013 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy HV Fund -2.32% -0.79% -12.23% -2.87% -6.24% -0.89% 1.72% 1.67%
ICE BofAML US 3M T-Bill 0.01% 0.62% 1.27% 1.72% 1.20% 0.85%
AQR Managed Futures Strategy HV Fund ICE BofAML US 3M T-Bill
MTD -2.32% 0.01%
YTD -0.79% 0.62%
1YR -12.23% 1.27%
3YR -2.87% 1.72%
5YR -6.24% 1.20%
Since Inception 7/16/2013 -0.89% 0.85%
Gross Expense Ratio 1.72%
Net Expense Ratio* 1.67%

As of June 30, 2020

QTD YTD 1YR 3YR 5YR Since Inception 7/16/2013 Gross Expense Ratio Net Expense Ratio*
AQR Managed Futures Strategy HV Fund -4.12% 0.39% -0.83% -2.14% -5.05% -0.74% 1.72% 1.67%
ICE BofAML US 3M T-Bill 0.02% 0.60% 1.64% 1.77% 1.19% 0.87%
AQR Managed Futures Strategy HV Fund ICE BofAML US 3M T-Bill
QTD -4.12% 0.02%
YTD 0.39% 0.60%
1YR -0.83% 1.64%
3YR -2.14% 1.77%
5YR -5.05% 1.19%
Since Inception 7/16/2013 -0.74% 0.87%
Gross Expense Ratio 1.72%
Net Expense Ratio* 1.67%
  Managers

Cliff Asness

Managing & Founding Principal

  • 28 years of experience
  • 22 years at AQR

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

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

John M. Liew

Founding Principal

  • 27 years of experience
  • 22 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., University of Pennsylvania

Yao Hua Ooi

Principal

  • 15 years of experience
  • 15 years at AQR

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

  Fees & Minimums

Investment Minimums

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

{{ table name/description (cms controlled, not shown used by assistive technologies) }}
Management Fee 1.45%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense None
     All Other Expenses 0.25%
Acquired Fund Fees 0.02%
Gross Expenses 1.72%
Less: Fee Waivers and/or Expense Reimbursements 0.05%
Net Expenses* 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.

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.

DISCLOSURES

Stocks and bonds are subject to risks, including the possible loss of principal. International stocks that provide exposure to foreign markets involve special risks, such as currency fluctuations, differing financial reporting and regulatory standards, and economic and political instability. These risks are highlighted when stocks are from emerging markets. Stocks of small-cap companies are generally more volatile and not as readily marketable as those of larger companies. Government bonds and Treasury bills are subject to interest rate risk, but they are backed by the full faith and credit of the U.S. government if held to maturity. The repayment of principal and interest of a corporate bond are guaranteed by the issuing company, and subject to default and credit risks. Indices are unmanaged and not available for direct investment. Please discuss with your financial professional or agent the benefits and risks of these securities.

Index Methodology

The AQR DynamiQ Allocation IndexS (the “Index”) is a long only index providing exposure to futures on third-party equity indices primarily comprised of large-cap securities of U.S. and non-U.S. issuers from developed markets, and exposure to futures on U.S. and non-U.S. developed government fixed income securities.  The Index will target an average of 40% equity and 60% fixed income weighting over the long-term.  The exposures of the Index to equity and fixed income will vary based on a rules-based methodology that allocates to equity and fixed income based on several well-known investment styles, with the potential for substantially different weightings from the 40/60 target depending on both market conditions and the attractiveness of each asset according to signals within the Index methodology.

AQR DynamiQ Allocation Index is available within select index annuities issued by American General Life Insurance (AGL), Houston, TX. AGL does not issue product in New York. Please see product brochure for more information.

Withdrawals may be subject to federal and/or state income taxes. An additional 10% federal tax may apply if you make withdrawals or surrender your annuity before age 59½. Consult your tax advisor regarding your specific situation.

Interest earned in an index annuity is calculated using index performance over a specific term, subject to contract provisions, such as an index rate cap, spread or participation rate, which may limit or reduce the upside potential. The index rate cap is the maximum percentage of index performance that can be credited as interest for an index term. The spread is the minimum threshold or percentage that index performance must exceed to be credited interest. The participation rate is the percentage of index performance that is used to calculate interest in certain accounts.

“AQR” and the AQR DynamiQ Allocation Index are trademarks or service marks of AQR Capital Management, LLC or one of its affiliates (“AQR”) and have been licensed for use by American General Life Insurance Company (the “Company”) for use as a benchmark for an annuity (inclusive of all applicable riders, the “Product”). The Product is not sponsored, endorsed, sold or promoted by AQR, its affiliates, nor the calculation agent, and they do not provide any investment advice to the Company with respect to the Product or to owners of the Product, nor do they make any representation regarding the advisability of investing in the Product or obtaining exposure to the Index. The Index is constructed without regard to the investment needs or suitability of the Company, the Product, or any Product owners.  AQR and the Index’s calculation agent have no obligation or liability whatsoever with respect to, and make no representations regarding, the Product. AQR makes no representation regarding the ability of the Index to achieve its goals and disclaims all express or implied warranties, including any warranty of merchantability and fitness for a particular purpose or use, in connection with the Index, including, without limitation, any results to be obtained by tracking the Index.  Neither AQR nor the Index’s Calculation Agent guarantees the accuracy or completeness of the Index. NONE OF AQR OR ITS AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSION OR INTERRUPTIONS OF OR IN CONNECTION WITH THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR THE PRODUCT. 

The index is independently calculated by a third-party calculation agent. 

Hypothetical and simulated examples have many inherent limitations and are generally prepared with the benefit of hindsight. There are frequently sharp differences between simulated results and the actual results. There are numerous factors related to the markets in general or the implementation of any specific investment strategy, which cannot be fully accounted for in the preparation of simulated results and all of which can adversely affect actual results. No representation is being made that any account, product, or strategy will or is likely to achieve profits, losses, or results similar to those shown.

The AQR DynamiQ Allocation IndexSM (the “Index”) embeds an annual index cost in the calculations of the change in index value. This embedded index cost will reduce any change in index value, and it funds certain operational and licensing costs for the Index. Since it will affect the return of the Index, it may also impact the amount of interest credited to an index annuity; however, it is not a fee paid by the policy owner or received by the issuing insurance company. 

 The AQR DynamiQ Allocation Index methodology adjusts exposures to achieve a volatility target. It is possible that the index could realize a volatility greater or less than its target.

Individuals cannot invest directly in an index.

This website and its contents have been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. Any use of the information or data for commercial purposes or design of products is prohibited without the prior written consent of an authorized person of AQR.