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Name

As of 11/25/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

AQR Risk-Balanced Commodities Strategy Fund

ARCIX | Fund

$8.82

$379 M

7.02%

$0.63

1.08%

Vitals

YTD Return

6.4%

1 yr return

4.4%

3 Yr Avg Return

10.4%

5 Yr Avg Return

15.8%

Net Assets

$379 M

Holdings in Top 10

84.6%

52 WEEK LOW AND HIGH

$8.9
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 1.08%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 0.00%

Redemption Fee N/A

Min Investment

Standard (Taxable)

$5,000,000

IRA

N/A

Fund Classification

Fund Type

Open End Mutual Fund

Name

As of 11/25/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

AQR Risk-Balanced Commodities Strategy Fund

ARCIX | Fund

$8.82

$379 M

7.02%

$0.63

1.08%

ARCIX - Profile

Distributions

  • YTD Total Return 6.4%
  • 3 Yr Annualized Total Return 10.4%
  • 5 Yr Annualized Total Return 15.8%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio -0.98%
DIVIDENDS
  • Dividend Yield 7.0%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    AQR Risk-Balanced Commodities Strategy Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Jul 09, 2012
  • Shares Outstanding
    N/A
  • Share Class
    I
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Yao Ooi

Fund Description

The Fund pursues its investment objective by allocating assets among various commodity sectors (including agricultural, energy, livestock, softs (e.g., non-grain agricultural products such as coffee, sugar, cocoa, etc.), precious and base metals and carbon pricing). The Fund's investments include alternative commodities (i.e. those commodities that are not typically included in large, widely recognized commodity indices). The Fund also invests in money market instruments. The Fund will obtain exposure to commodity sectors by investing in commodity-linked derivatives, directly or through its investment in the Subsidiary. There is no guarantee that the Fund's investment objective will be met.The Fund intends to gain exposure to commodity sectors by investing in a portfolio of Instruments (as defined below). The Fund will generally have some level of investment in the majority of commodity sectors. The Adviser targets balanced-risk weights across various commodity sectors and regularly reviews the risk in those sectors as market conditions change, rebalancing the portfolio to seek to maintain balanced exposures among sectors. The Fund’s balanced-risk approach can generally be expected to result in less relative risk exposure to the energy sector than an approach that mirrors the composition of well-known commodity indices.In allocating assets among commodity sectors, the Adviser follows a risk balanced approach. The risk balanced approach to asset allocation seeks to balance the allocation of risk (as measured by forecasted volatility) across the commodity sectors over time. Under the risk balanced approach, lower risk commodity sectors (such as precious metals) will generally have higher notional allocations than higher risk commodity sectors (such as energy). However, less risk is allocated to certain commodity sectors with lower liquidity (e.g., livestock and softs), meaning that risk will be balanced but not completely equal among the sectors. The Adviser also tactically varies the Fund’s allocation to the various commodity sectors depending on market conditions and through the use of various quantitative signals based upon the Adviser’s research.In choosing the overall exposure for the Fund, the Adviser follows a risk targeting approach. The risk targeting approach attempts to target a specific level of risk (as measured by forecasted volatility), which is expected to vary around a long-term risk target, typically ranging between an annualized volatility level of 10% and 22%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. Higher volatility generally indicates higher risk. The targeted risk at any given point in time can vary based on a number of factors, including the Adviser’s systematic tactical views. The desired overall risk level of the Fund may be increased or decreased by the Adviser, subject to the Adviser’s risk controls which may result in the Adviser’s targeted risk level not being achieved in certain circumstances.There can be no assurance that employing a risk balanced or risk targeted approach will achieve any particular level of return or will reduce volatility or potential loss. The actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Actual or realized volatility can and will differ from the forecasted or target volatility described above.The Fund is actively managed and has the flexibility to over- or underweight commodity sectors, at the Adviser’s discretion, in order to achieve the Fund’s objective. There is no stated limit on the percentage of assets the Fund can invest in a particular Instrument or the percentage of assets the Fund will allocate to any one commodity sector, and at times the Fund may focus on a small number of Instruments or commodity sectors. The Adviser will use proprietary volatility forecasting and portfolio construction methodologies to manage the Fund. The allocation among and within the different commodity sectors is based on the Adviser’s assessment of the risk associated with the commodity sector, the investment opportunity presented by each commodity sector, as well as the Adviser’s assessment of prevailing market conditions within the particular commodity sector. Shifts in allocations among and within commodity sectors or Instruments will be determined in accordance with various quantitative signals based upon the Adviser’s research, that rely on the evaluation of technical and fundamental indicators, such as trends in historical prices, spreads between futures’ prices of differing expiration dates, supply/demand data, momentum and macroeconomic data of commodity consuming countries.Generally, the Fund gains exposure to the commodity sectors by investing in commodity-linked derivative instruments, such as swap agreements, commodity futures and commodity forwards, and may include commodity-based exchange-traded funds and swaps on commodity futures (collectively, the “Instruments”), either by investing directly in those Instruments, or indirectly by investing in the Subsidiary (as described below) that invests in the Instruments. The Fund may invest in Instruments listed on U.S. or non-U.S. exchanges, some of which could be denominated in currencies other than the U.S. dollar. Although the Fund is not required to hedge against changes in currency values, the Fund expects to hedge its non-U.S. currency exposure. The Fund’s investment in the Instruments provides the Fund with exposure to the investment returns of the commodity sectors without investing directly in physical commodities.Futures contracts are contractual agreements to buy or sell a particular commodity or Instrument at a pre-determined price in the future. The Fund’s use of futures contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of commodities underlying an Instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund did not use Instruments that have a leveraging effect. There is no assurance that the Fund’s use of Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.As a result of the Fund’s strategy, the Fund may have highly leveraged exposure to one or more commodity sectors at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the Fund’s ability to use leverage.The Fund currently intends to invest up to 25% of its total assets in the Subsidiary. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company. Generally, the Subsidiary will invest primarily in commodity-linked derivative instruments, such as commodity futures, forwards and swaps (which may include swaps on commodity futures), and will hold cash and cash equivalents, with one year or less to maturity, including, but not limited to, money market instruments and U.S. Government securities. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, the Subsidiarymay invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 on a consolidated basis with respect to investments in derivatives. In addition, the Fund and the Subsidiary will be subject to the same fundamental investment restrictions on a consolidated basis and, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will follow the same compliance policies and procedures as the Fund. The Fund is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors.Assets not invested in Instruments or the Subsidiary will be invested in securities, including money market instruments. The securities portion of the Fund is intended to provide liquidity and preserve capital, and to serve as margin or collateral for the Fund's or Subsidiary's derivative positions. The Fund may hold directly or indirectly cash and cash equivalents, with one year or less to maturity, including, but not limited to, money market instruments and U.S. Government securities. The cash or cash equivalent holdings earn income for the Fund and can be held as unencumbered assets of the Fund or serve as collateral for the positions that the Fund takes on.Additional InformationWhen taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Fund’s strategy will result in frequent portfolio trading and high portfolio turnover (typically greater than 300%). A higher portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional expenses, which are borne by the Fund, and may have adverse tax consequences. The Fund employs sophisticated proprietary trading techniques in an effort to mitigate trading costs and execution impact on the Fund.
Read More

ARCIX - Performance

Return Ranking - Trailing

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
YTD 6.4% -29.4% 31.1% 21.09%
1 Yr 4.4% -39.5% 35.1% 21.88%
3 Yr 10.4%* -40.2% 276.0% 19.05%
5 Yr 15.8%* -29.0% 134.1% 11.38%
10 Yr 5.8%* -27.6% 47.4% 24.72%

* Annualized

Return Ranking - Calendar

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
2023 -7.3% -64.0% 30.1% 40.63%
2022 10.6% -40.8% 2475.6% 14.96%
2021 18.0% -23.3% 106.7% 29.37%
2020 8.0% -71.9% 295.5% 21.14%
2019 12.2% -31.8% 53.9% 24.59%

Total Return Ranking - Trailing

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
YTD 6.4% -29.4% 31.1% 21.09%
1 Yr 4.4% -39.5% 35.1% 21.88%
3 Yr 10.4%* -40.2% 276.0% 19.05%
5 Yr 15.8%* -29.0% 134.1% 11.38%
10 Yr 5.8%* -27.6% 47.4% 24.72%

* Annualized

Total Return Ranking - Calendar

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
2023 -0.2% -64.0% 41.1% 17.19%
2022 21.4% -15.1% 5648.8% 18.90%
2021 39.6% -23.3% 188.1% 15.08%
2020 8.1% -67.8% 296.1% 21.95%
2019 18.1% -31.8% 53.9% 16.39%

NAV & Total Return History

ARCIX - Holdings

Concentration Analysis

ARCIX Category Low Category High ARCIX % Rank
Net Assets 379 M 2.34 M 27.6 B 54.14%
Number of Holdings 406 1 1009 10.16%
Net Assets in Top 10 467 M 2.66 M 30.7 B 45.31%
Weighting of Top 10 84.64% 20.9% 169.5% 43.55%

Top 10 Holdings

  1. Limited Purpose Cash Investment Fund 45.89%
  2. U.S. Treasury Bills 7.72%
  3. U.S. Treasury Bills 6.52%
  4. U.S. Treasury Bills 5.54%
  5. U.S. Treasury Bills 4.63%
  6. U.S. Treasury Bills 3.66%
  7. U.S. Treasury Bills 3.59%
  8. U.S. Treasury Bills 3.20%
  9. U.S. Treasury Bills 2.10%
  10. U.S. Treasury Bills 1.80%

Asset Allocation

Weighting Return Low Return High ARCIX % Rank
Cash 		101.92% 0.00% 101.92% 0.79%
Stocks 		0.00% 0.00% 49.72% 50.00%
Preferred Stocks 		0.00% 0.00% 0.08% 35.71%
Convertible Bonds 		0.00% 0.00% 3.89% 57.60%
Bonds 		0.00% 0.00% 127.91% 84.38%
Other 		-1.92% -7.17% 100.19% 77.78%

ARCIX - Expenses

Operational Fees

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.08% 0.21% 5.23% 50.00%
Management Fee 0.80% 0.00% 1.75% 75.80%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.05% 0.45% N/A

Sales Fees

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 4.50% 5.75% N/A
Deferred Load N/A 1.00% 4.00% N/A

Trading Fees

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A N/A N/A N/A

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.

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 162.00% 19.32%

ARCIX - Distributions

Dividend Yield Analysis

ARCIX Category Low Category High ARCIX % Rank
Dividend Yield 7.02% 0.00% 19.94% 75.16%

Dividend Distribution Analysis

ARCIX Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Monthly Annually

Net Income Ratio Analysis

ARCIX Category Low Category High ARCIX % Rank
Net Income Ratio -0.98% -55.71% 52.26% 80.00%

Capital Gain Distribution Analysis

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

Distributions History

View More +

ARCIX - Fund Manager Analysis

Managers

Yao Ooi

Start Date

Tenure

Tenure Rank

Jul 09, 2012

9.9

9.9%

Yao Hua Ooi is a Principal at AQR Capital Management, where he is the Head of our Macro and Multi-Strategy team. In this role, he leads the Research and Portfolio Management teams focused on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Risk Parity, Alternative Risk Premia, Multi-Strategy, Multi-Asset and Global Macro products. His research has been published in the Journal of Financial Economics, the Journal of Portfolio Management, the Financial Analysts Journal and the Journal of Investment Management. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures, and shared the 2013 Whitebox Prize for his work on time series momentum. Yao Hua earned a B.S. in economics and a B.S. in engineering from the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, graduating summa cum laude.

Lars Nielsen

Start Date

Tenure

Tenure Rank

Jan 01, 2020

2.41

2.4%

Nielsen is a Principal of AQR Capital Management. Mr. Nielsen joined AQR in 2000 and currently serves as the co-head of portfolio management, research, risk and trading. He earned a B.Sc. and an M.Sc. in economics from the University of Copenhagen. Prior to joining the Adviser in 2000, he was an Analyst in the Quantitative Research Group of Danske Invest.

Ashwin Thapar

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Ashwin Thapar is a Principal and senior member of the Research and Portfolio Management team at AQR Capital Management. In his role, he co-heads research and portfolio management efforts on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy products. Ashwin has published research on topics including currency hedging, deep value and alternative risk premia investing and is a frequent conference presenter on these topics. Ashwin earned a B.Sc. in finance and a B.A. in mathematics from the University of Pennsylvania, graduating summa cum laude in both fields.

Jordan Brooks

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

Jordan Brooks is a Principal at AQR Capital Management, where he is the Co-Head of the Macro Strategies Group. In this role, he oversees equity index, fixed income, currency, and risk parity research, and is a portfolio manager for the firm’s risk parity, global macro, and multi-strategy portfolios. Jordan is also a Lecturer in Management at Yale University and an Adjunct Professor of Finance at New York University. He has published numerous articles on fixed income, global macro, and the intersection of asset pricing and macroeconomics. Prior to joining AQR, Jordan was a teaching fellow in the economics department at New York University, and a dissertation intern in the division of monetary affairs at the Federal Reserve Board of Governors and in the capital markets group at the Federal Reserve Bank of New York. Jordan earned a B.A. in economics and mathematics from Boston College, and an M.A. and Ph.D., both in economics, from New York University.

Clifford Asness

Start Date

Tenure

Tenure Rank

Jan 01, 2022

0.41

0.4%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.33 17.03 6.11 11.51

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