American Beacon AHL Managed Futures Strategy Fund
Name
As of 11/22/2024Price
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
Vitals
YTD Return
1.3%
1 yr return
2.7%
3 Yr Avg Return
2.7%
5 Yr Avg Return
5.5%
Net Assets
$3.34 B
Holdings in Top 10
65.3%
52 WEEK LOW AND HIGH
$9.8
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 1.86%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 0.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$2,500
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 11/22/2024Price
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
AHLPX - Profile
Distributions
- YTD Total Return 1.3%
- 3 Yr Annualized Total Return 2.7%
- 5 Yr Annualized Total Return 5.5%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio 2.83%
- Dividend Yield 0.6%
- Dividend Distribution Frequency None
Fund Details
-
Legal NameAmerican Beacon AHL Managed Futures Strategy Fund
-
Fund Family NameAmerican Beacon
-
Inception DateAug 19, 2014
-
Shares OutstandingN/A
-
Share ClassInvestor
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerRussell Korgaonkar
Fund Description
The Fund seeks to achieve its investment objective by implementing a quantitative trading strategy and systematic investment process designed to capitalize on price trends (up and/or down) in a broad range of around 120 global markets by utilizing derivative instruments to seek exposure to stock indices, bonds, currencies, and interest rates. As the owner of a “long” position in a derivative instrument, the Fund may benefit from an increase in the price of the underlying investment and, as the owner of a “short” position, the Fund may benefit from a decrease in the price of the underlying investment.
The Fund invests primarily in derivatives, including futures contracts (such as equity index futures, bond index futures, interest rate futures, treasury futures, and non-U.S. currency futures), and foreign currency forward contracts, including non-deliverable forwards (“NDFs”). The Fund also may invest in swaps, and other types of derivative instruments linked to stock indices, currencies, bonds, interest rates and commodity instruments. The Fund expects that, under normal market conditions, the notional value of its derivatives exposure generally will exceed that of its net assets. In connection with the Fund’s use of derivatives, which may be used for hedging purposes or for exposure to a market, the Fund may hold significant amounts of U.S. government securities, including U.S. Treasury securities and other foreign developed market sovereign short-term bonds issued by countries such as France, Germany, Japan and other developed countries, or short-term investments, including a government money market fund advised by the Manager, with respect to which the Manager also receives a management fee, cash and time deposits in order to meet collateral requirements. Additionally, the Fund may invest in bonds and zero coupon securities, U.S. and non-U.S. currencies and instruments denominated in non-U.S. currencies. The Fund’s investments are generally made without restriction as to issuer market capitalization, country, currency, or maturity. The Fund may invest in issuers in the U.S. and foreign developed and emerging markets.
The Fund seeks to gain exposure to the commodity futures markets by investing up to 25% of its total assets in a wholly-owned subsidiary, which is organized under the laws of the Cayman Islands (the “Subsidiary”). Generally, the Subsidiary invests primarily in commodity futures, but it may also invest in financial futures and forwards and swap contracts, fixed income securities, pooled investment vehicles, including open-end investment companies, and other investments intended to serve as margin or collateral for the Subsidiary’s derivative positions. The Fund invests in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax law, rules and regulations that apply to “regulated investment companies.” Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivatives, however, the Subsidiary and the Fund, in the aggregate, comply with applicable requirements for derivatives transactions set forth in Rule 18f-4 under the Investment Company Act of 1940, as amended (the “Investment Company Act”). In addition, the Fund and the Subsidiary comply with the same fundamental investment restrictions on an aggregate basis, and the Subsidiary follows the same compliance policies and procedures as the Fund to the extent those restrictions, policies and procedures are applicable to the investment activities of the Subsidiary. Unlike the Fund, the Subsidiary does not, and will not, seek to qualify as a “regulated investment company” under Subchapter M of Chapter 1 of Subtitle A of the Internal Revenue Code of 1986, as amended (“Subchapter M”). 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.
The sub-advisor employs computerized processes to identify investment opportunities across a wide range of markets around the world. Investment decisions are executed via the sub-advisor’s proprietary execution strategy. The investment decision process is quantitative and primarily directional in nature, meaning that investment decisions are driven by mathematical models based on market trends and other historical relationships. It is underpinned by risk control, ongoing research, diversification and the quest for efficiency. The Fund’s holdings may be frequently adjusted to reflect the sub-advisor’s assessment of changing risks, which could result in high portfolio turnover. The sub-advisor’s strategy is designed to provide an excess return with a stable level of volatility regardless of market conditions. The sub-advisor seeks to do this by using systematic algorithms (a mathematical model) to scale positions based on the net asset value (“NAV”) of the Fund. The algorithm measures the degree of volatility in a particular market. As volatilities increase, the algorithm will look to reduce exposure. Conversely, it will increase exposure, subject to risk limits, if the market is calm and volatilities are decreasing. This technique is called `volatility scaling’ and can be applied at various levels to achieve a balanced risk exposure through time, and across different asset classes. Volatility scaling aims to achieve a certain target level of volatility which is stable through time. The Fund has set an annualized volatility target of 10% of its NAV. Volatility is defined as the annualized standard deviation of returns. It is important to note that both the short and long term realized volatility of the Fund can and will differ from the targeted volatility and can be dependent on prevailing market conditions.
The cornerstone of the sub-advisor’s investment philosophy is that the financial markets exhibit trends and other inefficiencies. Trends are a manifestation of serial correlation in financial markets — the phenomenon whereby past price movements influence price behavior. Although price trends vary in their intensity, duration and frequency they typically recur across sectors and markets. Trends are an attractive focus for active trading styles applied across a range of global markets. In implementing its investment program, the Fund may hold significant cash positions from time to time.
The Fund is non-diversified, which means that it is not limited to a percentage of assets that it may invest in any one issuer.
AHLPX - Performance
Return Ranking - Trailing
| Period | AHLPX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 1.3% | -7.4% | 14.6% | 28.72% |
| 1 Yr | 2.7% | -16.1% | 36.5% | 38.71% |
| 3 Yr | 2.7%* | -7.9% | 13.3% | 8.99% |
| 5 Yr | 5.5%* | -5.3% | 10.0% | 13.25% |
| 10 Yr | 3.5%* | -2.4% | 4.3% | N/A |
* Annualized
Return Ranking - Calendar
| Period | AHLPX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -4.8% | -16.4% | 12.9% | 29.03% |
| 2022 | -1.1% | -9.3% | 17.5% | 60.87% |
| 2021 | -2.3% | -25.8% | 2.2% | 9.30% |
| 2020 | 4.9% | -5.1% | 21.0% | 68.42% |
| 2019 | -3.9% | -20.3% | 4.6% | 23.94% |
Total Return Ranking - Trailing
| Period | AHLPX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 1.3% | -7.4% | 14.6% | 28.72% |
| 1 Yr | 2.7% | -20.3% | 36.5% | 31.18% |
| 3 Yr | 2.7%* | -9.0% | 11.1% | 6.74% |
| 5 Yr | 5.5%* | -5.7% | 8.7% | 12.05% |
| 10 Yr | 3.5%* | -2.4% | 4.3% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | AHLPX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -4.2% | -16.4% | 12.9% | 29.03% |
| 2022 | 16.5% | -9.3% | 17.5% | 60.87% |
| 2021 | 4.7% | -20.3% | 2.5% | 5.81% |
| 2020 | 10.4% | -5.1% | 21.0% | 38.16% |
| 2019 | 0.1% | -20.3% | 6.7% | 25.35% |
NAV & Total Return History
AHLPX - Holdings
Concentration Analysis
| AHLPX | Category Low | Category High | AHLPX % Rank | |
|---|---|---|---|---|
| Net Assets | 3.34 B | 2.12 M | 1.74 B | 6.38% |
| Number of Holdings | 7519 | 3 | 876 | 58.51% |
| Net Assets in Top 10 | 2.26 B | -100 M | 2.04 B | 6.38% |
| Weighting of Top 10 | 65.29% | 20.3% | 94.0% | 55.56% |
Top 10 Holdings
- U.S. Treasury Bills 7.21%
- U.S. Treasury Bills 7.19%
- U.S. Treasury Bills 7.18%
- U.S. Treasury Bills 7.14%
- U.S. Treasury Bills 7.13%
- U.S. Treasury Bills 6.39%
- U.S. Treasury Bills 5.78%
- U.S. Treasury Bills 5.78%
- U.S. Treasury Bills 5.76%
- U.S. Treasury Bills 5.73%
Asset Allocation
| Weighting | Return Low | Return High | AHLPX % Rank | |
|---|---|---|---|---|
| Bonds | 84.06% | -50.36% | 717.59% | 54.26% |
| Cash | 15.35% | -687.11% | 117.03% | 35.11% |
| Other | 0.59% | 0.00% | 58.63% | 36.17% |
| Stocks | 0.00% | -1.78% | 72.26% | 96.81% |
| Preferred Stocks | 0.00% | 0.00% | 0.13% | 81.91% |
| Convertible Bonds | 0.00% | 0.00% | 2.27% | 82.98% |
Bond Sector Breakdown
| Weighting | Return Low | Return High | AHLPX % Rank | |
|---|---|---|---|---|
| Government | 66.12% | 0.00% | 82.10% | 53.19% |
| Cash & Equivalents | 6.19% | 1.07% | 100.00% | 27.66% |
| Derivative | 0.59% | 0.00% | 63.99% | 73.40% |
| Securitized | 0.00% | 0.00% | 64.73% | 82.98% |
| Corporate | 0.00% | 0.00% | 31.20% | 82.98% |
| Municipal | 0.00% | 0.00% | 6.83% | 79.79% |
Bond Geographic Breakdown
| Weighting | Return Low | Return High | AHLPX % Rank | |
|---|---|---|---|---|
| US | 84.06% | -169.44% | 233.08% | 43.62% |
| Non US | 0.00% | -77.11% | 655.95% | 86.17% |
AHLPX - Expenses
Operational Fees
| AHLPX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 1.86% | 0.75% | 12.88% | 49.46% |
| Management Fee | 1.35% | 0.65% | 2.99% | 55.32% |
| 12b-1 Fee | 0.00% | 0.00% | 1.00% | 13.80% |
| Administrative Fee | N/A | 0.09% | 0.45% | 96.30% |
Sales Fees
| AHLPX 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
| AHLPX 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.
| AHLPX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | 0.00% | 0.00% | 198.00% | 24.29% |
AHLPX - Distributions
Dividend Yield Analysis
| AHLPX | Category Low | Category High | AHLPX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 0.62% | 0.00% | 0.00% | 79.79% |
Dividend Distribution Analysis
| AHLPX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | None | Annually | Quarterly | Annually |
Net Income Ratio Analysis
| AHLPX | Category Low | Category High | AHLPX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | 2.83% | -3.14% | 1.55% | 43.01% |
Capital Gain Distribution Analysis
| AHLPX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 21, 2023 | $0.061 | OrdinaryDividend |
| Dec 22, 2022 | $0.485 | OrdinaryDividend |
| Dec 22, 2022 | $0.447 | CapitalGainShortTerm |
| Dec 22, 2022 | $0.869 | CapitalGainLongTerm |
| Dec 22, 2021 | $0.422 | OrdinaryDividend |
| Dec 22, 2021 | $0.163 | CapitalGainShortTerm |
| Dec 22, 2021 | $0.153 | CapitalGainLongTerm |
| Dec 22, 2020 | $0.171 | CapitalGainLongTerm |
| Dec 22, 2020 | $0.313 | OrdinaryDividend |
| Dec 22, 2020 | $0.058 | CapitalGainShortTerm |
| Dec 20, 2019 | $0.228 | OrdinaryDividend |
| Dec 20, 2019 | $0.192 | CapitalGainLongTerm |
| Dec 20, 2018 | $0.058 | CapitalGainShortTerm |
| Dec 20, 2018 | $0.095 | OrdinaryDividend |
| Dec 21, 2017 | $0.384 | CapitalGainShortTerm |
| Dec 21, 2017 | $0.039 | CapitalGainLongTerm |
| Dec 22, 2015 | $0.199 | OrdinaryDividend |
| Dec 22, 2015 | $0.073 | CapitalGainShortTerm |
| Dec 22, 2015 | $0.082 | CapitalGainLongTerm |
AHLPX - Fund Manager Analysis
Managers
Russell Korgaonkar
Start Date
Tenure
Tenure Rank
Aug 19, 2014
7.79
7.8%
Russell Korgaonkar is Head of Portfolio Management at AHL. Mr. Korgaonkar joined the company in February 2001, and spent several years researching and building single-stock trading systems, including statistical arbitrage and fundamental factor models. He managed the equity neutral fund Man MAC Daylami from inception in 2005 until 2009, before concentrating on directional systems including a sector based equities model. He moved to his current role in March 2011, and has brought practical experience to the managed futures programs, where his team is responsible for high-level portfolio construction, investment management, and research.
Otto van Hemert
Start Date
Tenure
Tenure Rank
Feb 01, 2021
1.33
1.3%
Otto van Hemert is Director of Core Strategies and a member of AHL’s management and investment committees. He was previously Head of Macro Research at AHL. Prior to joining AHL in 2015, Mr. Van Hemert ran a systematic global macro fund at IMC for more than three years. Before that, he headed Fixed Income Arbitrage, Credit, and Volatility strategies at AQR, and was on the Finance Faculty at the New York University Stern School of Business, where he published papers in leading academic finance journals. Mr. Van Hemert holds a PhD in Finance from the University of Amsterdam, Master’s Degrees in Economics from Tinbergen Institute and the University of Amsterdam, and a Master’s Degree in Mathematics from Utrecht University.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.16 | 14.09 | 5.41 | 5.06 |