AQMIX: AQR Managed Futures Strategy I

Welcome to MutualFunds.com

Please help us personalize your experience and select the one that best describes you.

Your personalized experience is almost ready.

Join other Individual Investors receiving FREE personalized market updates and research. Join other Institutional Investors receiving FREE personalized market updates and research. Join other Financial Advisors receiving FREE personalized market updates and research.

Thank you!

Check your email and confirm your subscription to complete your personalized experience.

Thank you for your submission

We hope you enjoy your experience

Channels

Find the latest content and information here about the 2019 Charles Schwab Impact Conference.

Advisors

Receive email updates about fund flows, news, upcoming CE accredited webcasts from industry thought leaders and more.

Content focused on helping financial advisors build successful client relationships and grow their business.

Content geared towards helping financial advisors build better client portfolios.

Get insights on the industry trends and investment news from leading fund managers and experts.

AQMIX AQR Managed Futures Strategy I


Profile

AQMIX - Profile

Vitals

  • YTD Return -0.1%
  • 3 Yr Annualized Return -4.5%
  • 5 Yr Annualized Return -5.2%
  • Net Assets $4.3 B
  • Holdings in Top 10 216.6%

52 WEEK LOW AND HIGH

$8.30
$8.15
$9.32

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.16%

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

Fund Classification

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

Distributions

  • YTD Total Return -0.1%
  • 3 Yr Annualized Total Return -4.5%
  • 5 Yr Annualized Total Return -5.2%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.62%
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 Liew

Sign up for Advisor Access

Receive email updates about best performers, news, CE accredited webcasts and more.


Categories

Performance

AQMIX - Performance

Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
YTD -0.1% -3.6% 10.8% 85.80%
1 Yr 1.1% -17.2% 38.0% 88.08%
3 Yr -4.5%* -15.4% 7.1% 96.74%
5 Yr -5.2%* -11.9% 24.3% 96.34%
10 Yr -1.5%* -7.4% 12.7% 87.44%

* Annualized

Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
2019 -1.2% -9.9% 62.6% 96.06%
2018 -8.9% -53.1% 2.2% 51.71%
2017 -1.0% -9.1% 20.0% 95.17%
2016 -8.4% -12.3% 219.0% 98.29%
2015 -4.2% -29.9% 14.0% 19.11%

Total Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
YTD -0.1% -3.6% 10.8% 85.80%
1 Yr 1.1% -17.2% 38.0% 88.23%
3 Yr -4.5%* -15.4% 9.1% 97.94%
5 Yr -5.2%* -11.9% 32.4% 98.17%
10 Yr -0.2%* -7.4% 20.8% 75.78%

* Annualized

Total Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
2019 -1.2% -9.9% 62.6% 96.06%
2018 -8.9% -53.1% 3.3% 65.11%
2017 -1.0% -6.6% 21.6% 97.76%
2016 -8.4% -12.3% 242.1% 98.29%
2015 -4.2% -29.9% 22.6% 33.94%

NAV & Total Return History


Holdings

AQMIX - Holdings

Concentration Analysis

AQMIX Category Low Category High AQMIX % Rank
Net Assets 4.3 B 1.04 M 14.7 B 7.03%
Number of Holdings 274 4 3699 37.88%
Net Assets in Top 10 11.4 B -1.8 M 17.7 B 1.15%
Weighting of Top 10 216.59% 5.6% 1055.7% 8.03%

Top 10 Holdings

  1. Aust 3yr Bond Fut Bond 16/Dec/2019 Ymz9 Comdty 34.22%
  2. 90 Day Eurodollar Future Sept21 25.15%
  3. Euro Schatz Dec19 24.95%
  4. Us 5yr Note (Cbt) Bond 31/Dec/2019 Fvz9 Comdty 23.77%
  5. 90 Day Eurodollar Future June21 21.51%
  6. Ubs Relationship Fds 20.48%
  7. Euro BOBL Future Dec19 19.29%
  8. Us 2yr Note (Cbt) Bond 31/Dec/2019 Tuz9 Comdty 18.54%
  9. 90 Day Eurodollar Future Mar21 15.09%
  10. 90 Day Eurodollar Future Dec20 13.58%

Asset Allocation

Weighting Return Low Return High AQMIX % Rank
Bonds
361.69% 80.28% 1025.08% 0.72%
Stocks
54.74% -6.36% 110.51% 8.75%
Other
31.46% -29.23% 67.70% 1.58%
Preferred Stocks
0.00% 0.00% 11.06% 99.28%
Convertible Bonds
0.00% 0.00% 14.29% 99.28%
Cash
-347.89% -1000.79% 21.44% 99.14%

Stock Sector Breakdown

Weighting Return Low Return High AQMIX % Rank
Financial Services
24.65% -0.26% 100.00% 14.85%
Technology
13.44% -0.38% 100.00% 32.10%
Consumer Cyclical
9.89% -0.20% 100.00% 28.38%
Industrials
9.74% -0.16% 100.00% 31.83%
Basic Materials
9.29% -0.04% 100.00% 10.88%
Energy
8.36% -0.13% 100.00% 27.06%
Healthcare
7.78% -0.22% 15.79% 38.20%
Consumer Defense
7.70% -0.12% 11.80% 25.73%
Communication Services
4.09% -0.05% 100.00% 31.56%
Utilities
2.69% -0.05% 96.07% 42.18%
Real Estate
2.36% -0.04% 23.75% 36.34%

Stock Geographic Breakdown

Weighting Return Low Return High AQMIX % Rank
Non US
43.94% -3.71% 99.98% 4.30%
US
10.80% -5.98% 103.68% 17.36%

Bond Sector Breakdown

Weighting Return Low Return High AQMIX % Rank
Derivative
50.68% -6.01% 59.88% 2.44%
Government
41.58% -0.16% 263.38% 64.71%
Cash & Equivalents
7.74% -221.24% 51.46% 34.15%
Securitized
0.00% 0.00% 89.51% 99.28%
Corporate
0.00% 0.00% 120.52% 99.28%
Municipal
0.00% 0.00% 55.86% 99.28%

Bond Geographic Breakdown

Weighting Return Low Return High AQMIX % Rank
Non US
193.82% -95.83% 193.82% 0.14%
US
167.87% -10.67% 1120.91% 4.02%

Expenses

AQMIX - Expenses

Operational Fees

AQMIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.16% 0.01% 38.91% 55.64%
Management Fee 1.05% 0.00% 2.50% 93.37%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.01% 0.50% N/A

Sales Fees

AQMIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 0.75% 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 0.75% 2.00% 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% 963.00% 0.74%

Distributions

AQMIX - Distributions

Dividend Yield Analysis

AQMIX Category Low Category High AQMIX % Rank
Dividend Yield 0.00% 0.00% 4.36% 99.43%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

AQMIX Category Low Category High AQMIX % Rank
Net Income Ratio 0.62% -1.27% 11.37% 89.45%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

AQMIX - Fund Manager Analysis

Managers

John Liew


Start Date

Tenure

Tenure Rank

Jan 06, 2010

10.07

10.1%

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

10.07

10.1%

Yao Hua Ooi is a Principal at AQR Capital Management. He leads the Research and Portfolio Management teams focused on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy 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

10.07

10.1%

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.

Ari Levine


Start Date

Tenure

Tenure Rank

May 01, 2014

5.76

5.8%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 29.1 5.9 10.42