AQR Managed Futures Strategy Fund
Name
As of 12/20/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
Vitals
YTD Return
7.7%
1 yr return
7.8%
3 Yr Avg Return
14.3%
5 Yr Avg Return
8.0%
Net Assets
$1.45 B
Holdings in Top 10
80.9%
52 WEEK LOW AND HIGH
Expenses
OPERATING FEES
Expense Ratio 2.31%
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 12/20/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
AQMIX - Profile
Distributions
- YTD Total Return 7.7%
- 3 Yr Annualized Total Return 14.3%
- 5 Yr Annualized Total Return 8.0%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -1.18%
- Dividend Yield 3.8%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameAQR Managed Futures Strategy Fund
-
Fund Family NameAQR Funds
-
Inception DateJan 05, 2010
-
Shares OutstandingN/A
-
Share ClassI
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerJohn Liew
AQMIX - Performance
Return Ranking - Trailing
Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 7.7% | -7.4% | 14.6% | 81.91% |
1 Yr | 7.8% | -16.1% | 36.5% | 75.27% |
3 Yr | 14.3%* | -7.9% | 13.3% | 76.40% |
5 Yr | 8.0%* | -5.3% | 10.0% | 91.57% |
10 Yr | 3.4%* | -2.4% | 4.3% | 50.00% |
* Annualized
Return Ranking - Calendar
Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | -6.1% | -16.4% | 12.9% | 77.42% |
2022 | 20.0% | -9.3% | 17.5% | 43.48% |
2021 | -7.5% | -25.8% | 2.2% | 55.81% |
2020 | -5.5% | -5.1% | 21.0% | 77.63% |
2019 | -1.2% | -20.3% | 4.6% | 71.83% |
Total Return Ranking - Trailing
Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | 7.7% | -7.4% | 14.6% | 81.91% |
1 Yr | 7.8% | -20.3% | 36.5% | 69.89% |
3 Yr | 14.3%* | -9.0% | 11.1% | 70.79% |
5 Yr | 8.0%* | -5.7% | 8.7% | 90.36% |
10 Yr | 3.4%* | -2.4% | 4.3% | 50.00% |
* Annualized
Total Return Ranking - Calendar
Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 1.8% | -16.4% | 12.9% | 77.42% |
2022 | 35.4% | -9.3% | 17.5% | 43.48% |
2021 | -1.1% | -20.3% | 2.5% | 60.47% |
2020 | -0.4% | -5.1% | 21.0% | 81.58% |
2019 | 1.9% | -20.3% | 6.7% | 76.06% |
NAV & Total Return History
AQMIX - Holdings
Concentration Analysis
AQMIX | Category Low | Category High | AQMIX % Rank | |
---|---|---|---|---|
Net Assets | 1.45 B | 2.12 M | 1.74 B | 1.06% |
Number of Holdings | 3258 | 3 | 876 | 29.79% |
Net Assets in Top 10 | 1.2 B | -100 M | 2.04 B | 1.06% |
Weighting of Top 10 | 80.88% | 20.3% | 94.0% | 8.03% |
Top 10 Holdings
- Limited Purpose Cash Investment Fund 26.27%
- U.S. Treasury Bills 12.07%
- U.S. Treasury Bills 9.60%
- U.S. Treasury Bills 8.98%
- U.S. Treasury Bills 6.39%
- U.S. Treasury Bills 4.30%
- U.S. Treasury Bills 4.28%
- U.S. Treasury Bills 4.03%
- U.S. Treasury Bills 2.61%
- U.S. Treasury Bills 2.34%
Asset Allocation
Weighting | Return Low | Return High | AQMIX % Rank | |
---|---|---|---|---|
Cash | 98.90% | -687.11% | 117.03% | 88.30% |
Other | 1.95% | 0.00% | 58.63% | 17.02% |
Convertible Bonds | 0.00% | 0.00% | 2.27% | 87.23% |
Bonds | 0.00% | -50.36% | 717.59% | 10.64% |
Stocks | -0.30% | -1.78% | 72.26% | 32.98% |
Preferred Stocks | -0.54% | 0.00% | 0.13% | 86.17% |
Stock Sector Breakdown
Weighting | Return Low | Return High | AQMIX % Rank | |
---|---|---|---|---|
Utilities | 0.00% | 0.00% | 4.63% | 67.19% |
Technology | 0.00% | 0.00% | 45.08% | 32.81% |
Real Estate | 0.00% | 0.27% | 99.97% | 62.50% |
Industrials | 0.00% | 0.00% | 17.73% | 78.13% |
Healthcare | 0.00% | 0.00% | 16.51% | 87.50% |
Financial Services | 0.00% | 0.00% | 30.46% | 10.94% |
Energy | 0.00% | 0.00% | 6.41% | 20.31% |
Communication Services | 0.00% | 0.03% | 20.13% | 28.13% |
Consumer Defense | 0.00% | 0.00% | 14.38% | 40.63% |
Consumer Cyclical | 0.00% | 0.00% | 21.37% | 39.06% |
Basic Materials | 0.00% | 0.00% | 12.01% | 54.69% |
Stock Geographic Breakdown
Weighting | Return Low | Return High | AQMIX % Rank | |
---|---|---|---|---|
US | 0.95% | -5.85% | 56.89% | 29.79% |
Non US | -1.25% | 0.00% | 40.59% | 41.49% |
AQMIX - Expenses
Operational Fees
AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 2.31% | 0.75% | 12.88% | 93.55% |
Management Fee | 1.05% | 0.65% | 2.99% | 38.30% |
12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
Administrative Fee | N/A | 0.09% | 0.45% | N/A |
Sales Fees
AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Front Load | N/A | 3.50% | 5.75% | N/A |
Deferred Load | N/A | 1.00% | 5.00% | N/A |
Trading Fees
AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Max Redemption Fee | N/A | 1.00% | 1.00% | 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.
AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | 0.00% | 0.00% | 198.00% | 28.57% |
AQMIX - Distributions
Dividend Yield Analysis
AQMIX | Category Low | Category High | AQMIX % Rank | |
---|---|---|---|---|
Dividend Yield | 3.84% | 0.00% | 0.00% | 84.04% |
Dividend Distribution Analysis
AQMIX | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | Annual | Annually | Quarterly | Annually |
Net Income Ratio Analysis
AQMIX | Category Low | Category High | AQMIX % Rank | |
---|---|---|---|---|
Net Income Ratio | -1.18% | -3.14% | 1.55% | 47.31% |
Capital Gain Distribution Analysis
AQMIX | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Distributions History
Date | Amount | Type |
---|---|---|
Dec 17, 2024 | $0.327 | OrdinaryDividend |
Dec 18, 2023 | $0.688 | OrdinaryDividend |
Dec 19, 2022 | $1.111 | OrdinaryDividend |
Dec 23, 2021 | $0.504 | OrdinaryDividend |
Dec 22, 2020 | $0.417 | OrdinaryDividend |
Dec 23, 2019 | $0.260 | OrdinaryDividend |
Dec 20, 2016 | $0.002 | OrdinaryDividend |
Dec 21, 2015 | $0.059 | CapitalGainShortTerm |
Dec 21, 2015 | $0.148 | CapitalGainLongTerm |
Dec 21, 2015 | $0.457 | OrdinaryDividend |
Dec 19, 2014 | $0.174 | CapitalGainShortTerm |
Dec 19, 2014 | $0.316 | CapitalGainLongTerm |
Dec 19, 2014 | $0.478 | OrdinaryDividend |
Dec 20, 2013 | $0.011 | CapitalGainShortTerm |
Dec 20, 2013 | $0.096 | CapitalGainLongTerm |
Dec 14, 2012 | $0.075 | OrdinaryDividend |
Dec 16, 2011 | $0.034 | CapitalGainShortTerm |
Dec 16, 2011 | $0.002 | CapitalGainLongTerm |
Dec 16, 2011 | $0.038 | OrdinaryDividend |
Dec 17, 2010 | $0.088 | OrdinaryDividend |
Dec 17, 2010 | $0.104 | CapitalGainShortTerm |
Dec 17, 2010 | $0.045 | CapitalGainLongTerm |
AQMIX - Fund Manager Analysis
Managers
John Liew
Start Date
Tenure
Tenure Rank
Jan 06, 2010
12.41
12.4%
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.
Yao Ooi
Start Date
Tenure
Tenure Rank
Jan 06, 2010
12.41
12.4%
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.
Clifford Asness
Start Date
Tenure
Tenure Rank
Jan 06, 2010
12.41
12.4%
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.
Erik Stamelos
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
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
Mar 01, 2022
0.25
0.3%
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.
Tenure Analysis
Category Low | Category High | Category Average | Category Mode |
---|---|---|---|
0.16 | 14.09 | 5.41 | 5.06 |