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AQMIX AQR Managed Futures Strategy I

  • Fund
  • AQMIX
  • Price as of: Oct 12, 2018
  • $8.81
  • + $0.01
  • + 0.11%
  • Category
  • Managed Futures

AQMIX - Profile

Vitals

  • YTD Return -4.6%
  • 3 Yr Annualized Return -5.3%
  • 5 Yr Annualized Return 1.1%
  • Net Assets $8.73 B
  • Holdings in Top 10 369.0%

52 WEEK LOW AND HIGH

$8.81
$8.59
$9.72

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.19%

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 -4.6%
  • 3 Yr Annualized Total Return -5.3%
  • 5 Yr Annualized Total Return 1.1%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -0.38%
DIVIDENDS
  • Dividend Yield 0.0%
  • 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 -4.6% -29.7% 2.8% 34.21% 2
1 Yr 1.7% -19.8% 21.4% 30.77% 2
3 Yr -5.3% * -10.1% 6.1% 83.33% 5
5 Yr 1.1% * -9.1% 7.8% 48.65% 3
10 Yr N/A * -2.4% 11.8% N/A N/A

* Annualized


Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2017 -1.0% -23.4% 16.7% 51.38% 3
2016 -8.4% -27.1% 8.1% 71.30% 4
2015 -4.2% -17.7% 14.5% 54.90% 3
2014 0.4% -25.2% 13.2% 55.81% 4
2013 8.3% -12.2% 12.7% 6.56% 1

Total Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD -4.6% -29.7% 1.8% 33.33% 2
1 Yr 1.7% -23.7% 21.4% 25.64% 2
3 Yr -5.3% * -10.8% 6.1% 80.56% 4
5 Yr 1.1% * -9.1% 7.8% 45.95% 3
10 Yr N/A * -2.4% 11.8% N/A N/A

* Annualized


Total Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%) Quintile
2017 -1.0% -23.4% 16.7% 54.55% 3
2016 -8.4% -27.1% 8.1% 75.00% 4
2015 2.1% -10.9% 16.2% 54.90% 3
2014 11.2% -26.1% 33.9% 25.58% 2
2013 11.4% -12.4% 16.4% 6.56% 1

NAV & Total Return History

AQMIX - Holdings

Filings data as of: Jun 30, 2018

Concentration Analysis

AQMIX Category Low Category High AQMIX % Rank Quintile
Net Assets 8.73 B 17.2 K 8.73 B 0.85% 1
Number of Holdings 266 2 871 7.69% 2
Net Assets in Top 10 -19 B -19 B 2.52 B 41.03% 5
Weighting of Top 10 369.0% 0.0% 2212.2% 3.42% 1

Top 10 Holdings

  1. Us 5yr Note (Cbt) Bond 28/Sep/2018 Fvu8 Comdty 64.83%
  2. Euro-Bobl Future Bond 06/Sep/2018 Oeu8 Comdty 42.39%
  3. Euro-Bund Future Bond 06/Sep/2018 Rxu8 Comdty 40.01%
  4. 90day Euro$ Mar19 32.02%
  5. 90day Euro$ Futr Dec18 34.02%
  6. 90day Euro$ Futr Interest Rate 16/Mar/2020 31.83%
  7. 90day Euro$ Futr Future Dec09 14/Dec/2009 (Edz9) 31.29%
  8. Jun 19 Eurodollar-Cme 31.16%
  9. 90day Euro$ Futr Interest Rate 16/Sep/2019 Edu9 31.04%
  10. Us 10yr Note (Cbt) Bond 19/Sep/2018 Tyu8 Comdty 30.39%

Asset Allocation

Weighting Category Low Category High AQMIX % Rank Quintile
Cash
195.63% -89.20% 640.63% 2.56% 1
Stocks
47.84% -235.32% 70.53% 3.42% 1
Other
27.52% -48.23% 99.47% 8.55% 1
Preferred Stocks
0.00% 0.00% 1.31% 5.13% 5
Convertible Bonds
0.00% 0.00% 5.37% 6.84% 5
Bonds
-170.99% -594.44% 123.80% 34.19% 5

Stock Sector Breakdown

Weighting Category Low Category High AQMIX % Rank Quintile
Technology
1.12% -0.20% 41.47% 13.16% 2
Financial Services
0.97% -0.10% 41.96% 15.79% 2
Consumer Cyclical
0.52% -0.14% 25.96% 17.11% 3
Healthcare
0.46% -0.09% 32.26% 15.79% 2
Industrials
0.45% -0.12% 25.92% 17.11% 3
Consumer Defense
0.34% -0.06% 21.66% 15.79% 2
Basic Materials
0.32% -0.02% 8.70% 17.11% 3
Energy
0.27% -0.04% 14.15% 18.42% 3
Communication Services
0.25% -0.02% 10.05% 14.47% 2
Real Estate
0.22% 0.00% 4.79% 13.16% 2
Utilities
0.10% -0.01% 8.39% 15.79% 3

Stock Geographic Breakdown

Weighting Category Low Category High AQMIX % Rank Quintile
US
47.84% -186.15% 49.34% 1.71% 1
Non US
0.00% -49.17% 39.30% 12.82% 5

AQMIX - Expenses

Operational Fees

AQMIX Fees (% of AUM) Category Low Category High Rank in Category (%) Quintile
Expense Ratio 1.19% 0.82% 274.22% 74.36% 1
Management Fee 1.05% 0.00% 2.99% 15.38% 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% 27.03% 2

AQMIX - Distributions

Dividend Yield Analysis

AQMIX Category Low Category High AQMIX % Rank Quintile
Dividend Yield 0.0% 0.00% 0.90% 77.19% 5

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 -0.38% -4.57% 5.34% 18.80% 1

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

8.74

Tenure Rank

0.9%

Dr. Liew is a Founder and the head of the Global Asset Allocation team at of AQR, overseeing the research, portfolio management and trading associated with that strategy. Prior to AQR, he worked at Goldman, Sachs & Co. as a portfolio manager in the Asset Management Division where he developed and managed quantitative trading strategies. Dr. Liew began his career at Trout Trading, developing quantitative market-neutral stock-selection strategies. Dr Liew has published articles in The Journal of Portfolio Management and Financial Analysts Journal, and has received the Bernstein Fabozzi/Jacobs Levy award and the Graham and Dodd award for his articles. Dr. Liew is a member of the University of Chicago’s Board of Trustees and sits on the university’s investment committee. Dr Liew earned a B.A. in economics, an M.B.A. and a Ph.D. in finance from Chicago.


Brian K. Hurst

Manager

Start Date

Jan 06, 2010

Tenure

8.74

Tenure Rank

0.9%

Brian is a portfolio manager for two of AQR’s macro strategies: managed futures and risk parity. He has more than 20 years of experience managing money for institutional investors in both traditional and alternative investment strategies, and has been at AQR since its founding. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures. Before AQR, Brian was an original member of the quantitative research group in the Asset Management division of Goldman, Sachs & Co. He began his career as a sell-side investment banking analyst at Donaldson, Lufkin & Jenrette. Brian earned a B.S. in economics from the Wharton School at the University of Pennsylvania.


Yao Hua Ooi

Manager

Start Date

Jan 06, 2010

Tenure

8.74

Tenure Rank

0.9%

Yao Hua is a Principal in the Global Asset Allocation team, focusing on research and portfolio management of macro-related strategies that include commodities, risk parity and managed futures. His research has been published in the Journal of Financial Economics and the Journal of Investment Management, and he shared the 2013 Whitebox Prize for his work on time series momentum. Prior to AQR, he structured interest rate derivative products at UBS. Yao Hua is an alumnus of the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, where he earned a B.S. in economics from the Wharton School and a B.S. in engineering from the School of Engineering and Applied Science, majoring in finance and computer engineering and graduating summa cum laude in both.


Ari Levine

Manager

Start Date

May 01, 2014

Tenure

4.42

Tenure Rank

7.9%

Ari is a portfolio manager for AQR’s commodities and managed futures strategies, leading research efforts in both areas. His research on trend following techniques has been published in the Financial Analysts Journal. Ari earned a B.S. in finance and a B.S.E. and M.S.E. in electrical engineering from the Jerome Fisher Program in Management and Technology at the University of Pennsylvania.


Clifford S. Asness

Manager

Start Date

Jan 06, 2010

Tenure

8.74

Tenure Rank

0.9%

Dr. Asness is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an research notable for its relevance and enduring value to investment professionals. Prior to co-founding AQR Capital Management, he was a Managing Director and Director of Quantitative Research for the Asset Management Division of Goldman, Sachs & Co. Dr. Asness is on the editorial board of The Journal of Portfolio Management, the governing board of the Courant Institute of Mathematical Finance at NYU, the Board of Directors of the Q-Group and the Board of the International Rescue Committee. Dr. Asness received 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, graduating summa cum laude in both. Dr. Asness received an M.B.A. with high honors and a Ph.D. in finance from the University of Chicago, where he was Eugene Fama’s student and teaching assistant for two years (so he still feels guilty when trying to beat the market).


Tenure Analysis

Category Low

0.2

Category High

11.6

Category Average

3.89

Category Mode

3.8