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AQMIX AQR Managed Futures Strategy I

  • Fund
  • AQMIX
  • Price as of: Aug 08, 2016
  • $10.37
  • - $0.04
  • - 0.38%
  • Category
  • Managed Futures

AQMIX - Profile

Vitals

  • YTD Return 1.9%
  • 3 Yr Annualized Return 6.5%
  • 5 Yr Annualized Return 4.6%
  • Net Assets $14.2 B
  • Holdings in Top 10 38.6%

52 WEEK LOW AND HIGH

$10.37
$9.85
$11.32

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.21%

SALES FEES

  • Front Load N/A
  • Deferred Load N/A

BROKERAGE FEES

  • Turnover 0.00%

TRADING FEES

  • Max Redemption Fee N/A

Min Investment

STANDARD (TAXABLE)

$5,000,000

IRA

$100,000

Investment Themes

CATEGORY

Managed Futures
  • Fund Type Open End Mutual Fund
  • Investment Style Managed Futures

Distributions

  • YTD Total Return 1.9%
  • 3 Yr Annualized Total Return 6.5%
  • 5 Yr Annualized Total Return 4.6%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.11%
DIVIDENDS
  • Dividend Yield 0.1%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name AQR Managed Futures Strategy Fund
  • Fund Family Name AQR Funds
  • Inception Date Jan 06, 2010
  • Shares Outstanding N/A
  • Share Class Inst
  • Currency USD
  • Domiciled Country United States
  • Manager John M. Liew

AQMIX - Performance

Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.9% -16.1% 11.9% 61.40% 4
1 Yr 2.9% -14.9% 21.4% 40.17% 2
3 Yr 6.5% * -8.9% 13.3% 25.58% 2
5 Yr 4.6% * -9.5% 7.8% 9.30% 1
10 Yr N/A * 12.2% 13.1% N/A N/A

* Annualized


Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2015 -4.2% -20.4% 6.6% 35.92% 2
2014 N/A N/A N/A N/A N/A
2013 N/A N/A N/A N/A N/A
2012 N/A N/A N/A N/A N/A
2011 N/A N/A N/A N/A N/A

Total Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.9% -16.1% 11.9% 60.19% 4
1 Yr 2.9% -19.2% 21.4% 31.62% 2
3 Yr 6.5% * -8.9% 13.3% 24.42% 2
5 Yr 4.6% * -9.5% 7.8% 9.30% 1
10 Yr N/A * 12.2% 13.1% N/A N/A

* Annualized


Total Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2015 -4.2% -20.4% 6.6% 36.54% 2
2014 N/A N/A N/A N/A N/A
2013 N/A N/A N/A N/A N/A
2012 N/A N/A N/A N/A N/A
2011 N/A N/A N/A N/A N/A

NAV & Total Return History

AQMIX - Holdings

Filings data as of: Jun 30, 2016

Concentration Analysis

AQMIX Category Low Category High AQMIX % Rank Quintile
Net Assets 14.2 B 199 K 14.2 B 0.85% 1
Number of Holdings 505 2 792 1.71% 1
Net Assets in Top 10 24.5 B -12 M 24.5 B 0.85% 1
Weighting of Top 10 38.6% 0.0% 204.9% 20.51% 3

Top 10 Holdings

  1. Us 2yr Note Fut Sep16 6.59%
  2. Aqr Mf Cayman Blocker 4.85%
  3. 3mo Euro Euribor Mar18 4.75%
  4. Euro-Schatz Fut Sep16 3.91%
  5. Euro-Bobl Fut Sep16 3.67%
  6. 3mo Euro Euribor Sep17 3.66%
  7. 3mo Euro Euribor 06/18/18 2.94%
  8. 90day Euro$ 12/19/2016 2.81%
  9. 90 Day Euro$ Jun17 2.80%
  10. Us 5yr Note Fut Sep16 2.62%

Asset Allocation

Weighting Category Low Category High AQMIX % Rank Quintile
Bonds
66.35% 0.00% 127.67% 11.11% 2
Cash
26.25% -64.43% 245.27% 23.93% 3
Other
9.25% -28.12% 99.88% 24.79% 4
Convertible Bonds
0.00% 0.00% 4.26% 3.42% 5
Preferred Stocks
0.00% 0.00% 1.08% 4.27% 5
Stocks
-1.85% -117.15% 25.11% 18.80% 5

Bond Sector Breakdown

Weighting Category Low Category High AQMIX % Rank Quintile
Government
66.35% 0.00% 109.34% 4.27% 1
Cash & Equivalents
19.76% -168.57% 245.27% 24.79% 4
Derivative
6.49% -33.12% 256.10% 5.98% 1
Corporate
0.00% 0.00% 49.52% 19.66% 5
Municipal
0.00% 0.00% 2.09% 10.26% 5
Securitized
0.00% 0.00% 116.56% 17.09% 5

Bond Geographic Breakdown

Weighting Category Low Category High AQMIX % Rank Quintile
US
66.35% 0.00% 116.56% 8.55% 2
Non US
0.00% 0.00% 51.74% 17.95% 5

AQMIX - Expenses

Operational Fees

AQMIX Fees (% of AUM) Category Low Category High Rank in Category (%) Quintile
Expense Ratio 1.21% 0.95% 170.88% 72.65% 1
Management Fee 1.05% 0.00% 2.99% 12.82% 2
12b-1 Fee N/A 0.00% 1.00% N/A N/A
Administrative Fee N/A 0.02% 0.40% N/A N/A

Sales Fees

AQMIX Fees (% of AUM) Category Low Category High AQMIX Rank Quintile
Front Load N/A 4.50% 5.75% N/A N/A
Deferred Load N/A 1.00% 2.00% N/A N/A

Trading Fees

AQMIX Fees (% of AUM) Category Low Category High AQMIX Rank Quintile
Max Redemption Fee N/A 1.00% 2.00% N/A N/A

Turnover Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

AQMIX Fees (% of AUM) Category Low Category High AQMIX Rank Quintile
Turnover 0.00% 0.00% 4847.00% 24.07% 2

AQMIX - Distributions

Dividend Yield Analysis

AQMIX Category Low Category High AQMIX % Rank Quintile
Dividend Yield 0.1% 0.00% 0.46% 45.83% 3

Dividend Distribution Analysis

AQMIX Category Low Category High Category Mode
Dividend Distribution Frequency Annually Annually Monthly Annually

Dividend Payout History


Net Income Ratio Analysis

AQMIX Category Low Category High AQMIX % Rank Quintile
Net Income Ratio -1.11% -4.57% 1.51% 25.64% 2

Capital Gain Distribution Analysis

AQMIX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually Annually

AQMIX - Managers

John M. Liew

Manager

Start Date

Jan 06, 2010

Tenure

6.57

Tenure Rank

2.0%

John Liew is a co-founder of AQR and heads the Global Asset Allocation team. Prior to co-founding AQR, John worked at Goldman, Sachs & Co. as a portfolio manager in the Asset Management Division. Prior to joining Goldman, John worked at Trout Trading Company. John has published articles in the Journal of Portfolio Management and the Financial Analysts Journal.


Brian K. Hurst

Manager

Start Date

Jan 06, 2010

Tenure

6.57

Tenure Rank

2.0%

Brian Hurst has been with AQR Capital Management since its inception in 1998. He has over 15 years of experience managing money for institutional investors in both traditional and alternative investment strategies. He is a Principal of AQR and currently the head of the Global Trading Strategies group. He was a founding member of the Global Asset Allocation team, which focuses on macro strategies. Prior to AQR, Brian worked at Goldman, Sachs & Co. in the Asset Management Division's Quantitative Research Group. As one of the original members of this group, he was responsible for building the core infrastructure and developing the quantitatively based models that were used to manage over $7 billion in assets. Brian received his BS in Economics from the Wharton School of the University of Pennsylvania.


Yao Hua Ooi

Manager

Start Date

Jan 06, 2010

Tenure

6.57

Tenure Rank

2.0%

Yao Hua joined AQR in 2004 and is a Principal in the Global Asset Allocation team, which focuses on research and portfolio management of macro related strategies. Prior to joining AQR, he worked in the Fixed Income group at UBS, where he structured and marketed interest rate derivative products to regional private banks. Yao Hua graduated from the Jerome Fisher Program in Management and Technology at the University of Pennsylvania. He received a BS in Economics from the Wharton School and a BS in Engineering from The School of Engineering and Applied Science, with majors in Finance and Computer Engineering, both graduating summa cum laude.


Ari Levine

Manager

Start Date

May 01, 2014

Tenure

2.25

Tenure Rank

11.3%

Ari Levine is a Vice President AQR Capital Management, LLC. Prior to joining AQR in 2007, Mr. Levine worked for BlackRock as an intern in the Financial Modeling Group. He received a B.S. in Engineering, a B.S. in Economics and an M.S. in Engineering from the University of Pennsylvania.


Clifford S. Asness

Manager

Start Date

Jan 06, 2010

Tenure

6.57

Tenure Rank

2.0%

Clifford S. Asness, Ph.D., M.B.A., is the Managing and Founding Principal of the AQR Capital Management. Dr. Asness cofounded the AQR Capital Management in 1998 and serves as its chief investment officer. Prior to co-founding AQR Capital Management, Cliff was at Goldman, Sachs & Co. where he was a Managing Director and Director of Quantitative Research for the Asset Management Division. Cliff has received the best paper award from the Journal of Portfolio Management twice (2001, 2003). He earned a B.S. in economics from the Wharton School and a B.S. in engineering from the Moore School of Electrical Engineering at the University of Pennsylvania, as well as an M.B.A. and a Ph.D. in finance from the University of Chicago.


Tenure Analysis

Category Low

0.2

Category High

10.6

Category Average

3.23

Category Mode

1.6