ARCIX: AQR Risk-Balanced Commodities Strategy I

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ARCIX AQR Risk-Balanced Commodities Strategy I

  • Fund
  • ARCIX
  • Price as of: Dec 04, 2019
  • $6.18
    + $0.03 + 0.49%

Profile

ARCIX - Profile

Vitals

  • YTD Return 9.4%
  • 3 Yr Annualized Return -3.2%
  • 5 Yr Annualized Return -3.3%
  • Net Assets $257 M
  • Holdings in Top 10 80.3%

52 WEEK LOW AND HIGH

$6.18
$5.52
$6.44

Expenses

OPERATING RELATED FEES

  • Expense Ratio 0.99%

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 Commodities Broad Basket

Distributions

  • YTD Total Return 9.4%
  • 3 Yr Annualized Total Return -1.7%
  • 5 Yr Annualized Total Return -2.4%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio 0.71%
DIVIDENDS
  • Dividend Yield 0.6%
  • Dividend Distribution Frequency Annually

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
    Inst
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    Yao Hua 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.) and precious and base metals). It also invests in fixed income securities and 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. It is non-diversified.


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Categories

Performance

ARCIX - Performance

Return Ranking - Trailing

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.4% -10.0% 11.5% 16.36%
1 Yr 4.7% -32.7% 6.8% 5.50%
3 Yr -3.2%* -13.3% 2.3% 26.60%
5 Yr -3.3%* -21.9% -3.0% 6.25%
10 Yr N/A* -16.3% 18.0% N/A

* Annualized

Return Ranking - Calendar

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
2018 -18.1% -42.9% -0.2% 63.27%
2017 10.4% -13.1% 10.5% 2.13%
2016 11.2% 3.1% 22.1% 48.39%
2015 -19.5% -64.9% -7.2% 22.89%
2014 -15.8% -34.3% 669.0% 25.00%

Total Return Ranking - Trailing

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.4% -10.0% 11.5% 16.36%
1 Yr 4.7% -32.7% 6.8% 5.50%
3 Yr -1.7%* -13.3% 3.2% 31.91%
5 Yr -2.4%* -19.1% -2.4% 1.25%
10 Yr N/A* -12.3% 21.3% N/A

* Annualized

Total Return Ranking - Calendar

Period ARCIX Return Category Return Low Category Return High Rank in Category (%)
2018 -18.1% -42.9% -0.2% 83.67%
2017 10.4% -8.3% 10.9% 5.32%
2016 16.6% 3.1% 23.2% 9.68%
2015 -19.5% -62.9% -7.2% 22.89%
2014 -15.8% -34.3% 698.3% 25.00%

NAV & Total Return History


Holdings

ARCIX - Holdings

Concentration Analysis

ARCIX Category Low Category High ARCIX % Rank
Net Assets 257 M 1.24 M 7.86 B 67.57%
Number of Holdings 22 2 958 66.67%
Net Assets in Top 10 199 M -12.4 M 2.94 B 45.95%
Weighting of Top 10 80.30% 0.0% 166.9% 35.14%

Top 10 Holdings

  1. Ubs Money Ser 39.77%
  2. Ubs Relationship Fds 22.29%
  3. United States Treasury Bills 7.75%
  4. United States Treasury Bills 3.24%
  5. United States Treasury Bills 1.86%
  6. United States Treasury Bills 1.46%
  7. United States Treasury Bills 1.35%
  8. United States Treasury Bills 1.04%
  9. United States Treasury Bills 0.79%
  10. United States Treasury Bills 0.75%

Asset Allocation

Weighting Return Low Return High ARCIX % Rank
Other
62.05% -2.17% 109.24% 11.71%
Bonds
18.99% 0.00% 85.57% 74.77%
Cash
18.95% -41.68% 100.51% 52.25%
Stocks
0.00% 0.00% 48.90% 45.95%
Preferred Stocks
0.00% 0.00% 0.00% 16.22%
Convertible Bonds
0.00% 0.00% 2.07% 52.25%

Bond Sector Breakdown

Weighting Return Low Return High ARCIX % Rank
Government
18.99% -13.32% 85.57% 58.56%
Cash & Equivalents
18.95% -41.68% 100.51% 53.15%
Derivative
0.00% -20.20% 1.58% 21.62%
Securitized
0.00% 0.00% 40.46% 58.56%
Corporate
0.00% 0.00% 56.42% 62.16%
Municipal
0.00% 0.00% 0.45% 32.43%

Bond Geographic Breakdown

Weighting Return Low Return High ARCIX % Rank
US
18.99% 0.00% 85.57% 74.77%
Non US
0.00% -12.32% 25.66% 52.25%

Expenses

ARCIX - Expenses

Operational Fees

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.99% 0.01% 12.59% 80.00%
Management Fee 0.80% 0.00% 1.75% 51.35%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.01% 0.45% N/A

Sales Fees

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 0.00% 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 1.00% 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.

ARCIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 5463.00% 7.27%

Distributions

ARCIX - Distributions

Dividend Yield Analysis

ARCIX Category Low Category High ARCIX % Rank
Dividend Yield 0.61% 0.00% 47.02% 66.67%

Dividend Distribution Analysis

ARCIX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Quarterly Annually

Net Income Ratio Analysis

ARCIX Category Low Category High ARCIX % Rank
Net Income Ratio 0.71% -1.16% 3.38% 62.73%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

ARCIX - Fund Manager Analysis

Managers

Yao Hua Ooi


Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.32

7.3%

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.

Brian K. Hurst


Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.32

7.3%

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.

Ari Levine


Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.32

7.3%

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
0.35 14.44 6.11 8.92