ARCNX: AQR Risk-Balanced Commodities Strategy N

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ARCNX AQR Risk-Balanced Commodities Strategy N


Profile

ARCNX - Profile

Vitals

  • YTD Return -13.1%
  • 3 Yr Annualized Return -4.2%
  • 5 Yr Annualized Return -1.7%
  • Net Assets $128 M
  • Holdings in Top 10 68.7%

52 WEEK LOW AND HIGH

$5.43
$4.56
$6.45

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.32%

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) $1,000,000
  • IRA N/A

Fund Classification

  • Primary Caregory
  • Fund Type Open End Mutual Fund
  • Investment Style Commodities Broad Basket

Distributions

  • YTD Total Return -13.1%
  • 3 Yr Annualized Total Return -4.2%
  • 5 Yr Annualized Total Return -0.8%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio 0.79%
DIVIDENDS
  • Dividend Yield 0.0%
  • 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
    N
  • Currency
    USD
  • Domiciled Country
    United States
  • 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.) 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

ARCNX - Performance

Return Ranking - Trailing

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
YTD -13.1% -32.6% 0.0% 70.37%
1 Yr -8.4% -33.2% 1.0% 53.70%
3 Yr -4.2%* -21.2% -0.9% 16.84%
5 Yr -1.7%* -17.5% 0.1% 6.90%
10 Yr N/A* -16.7% -5.3% N/A

* Annualized

Return Ranking - Calendar

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
2019 12.0% -8.3% 16.6% 11.21%
2018 -18.1% -42.9% -0.2% 64.21%
2017 10.2% -13.1% 10.5% 3.30%
2016 11.0% 3.1% 22.1% 56.67%
2015 -19.7% -64.9% -7.2% 25.00%

Total Return Ranking - Trailing

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
YTD -13.1% -32.6% 0.0% 70.37%
1 Yr -8.4% -33.2% 1.0% 53.70%
3 Yr -4.2%* -21.2% -0.4% 25.26%
5 Yr -0.8%* -17.5% 0.4% 8.05%
10 Yr N/A* -14.8% -3.3% N/A

* Annualized

Total Return Ranking - Calendar

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
2019 12.0% -8.3% 16.6% 11.21%
2018 -18.1% -42.9% -0.2% 82.11%
2017 10.2% -8.3% 10.9% 7.69%
2016 16.1% 3.1% 23.2% 11.11%
2015 -19.7% -62.9% -7.2% 25.00%

NAV & Total Return History


Holdings

ARCNX - Holdings

Concentration Analysis

ARCNX Category Low Category High ARCNX % Rank
Net Assets 128 M 1.12 M 5.84 B 74.31%
Number of Holdings 10 4 831 83.49%
Net Assets in Top 10 83 M -151 M 1.51 B 43.12%
Weighting of Top 10 68.74% 6.9% 85.3% 18.52%

Top 10 Holdings

  1. Ubs Money Ser 38.96%
  2. Ubs Relationship Fds 23.10%
  3. United States Treasury Bills 3.67%
  4. United States Treasury Bills 3.01%

Asset Allocation

Weighting Return Low Return High ARCNX % Rank
Other
62.06% -1.10% 110.14% 10.09%
Cash
31.26% -86.13% 100.00% 42.20%
Bonds
6.68% 0.00% 131.41% 73.39%
Stocks
0.00% -26.70% 48.88% 36.70%
Preferred Stocks
0.00% 0.00% 0.00% 26.61%
Convertible Bonds
0.00% 0.00% 7.54% 51.38%

Bond Sector Breakdown

Weighting Return Low Return High ARCNX % Rank
Cash & Equivalents
82.39% 0.51% 100.00% 21.10%
Government
17.61% 0.00% 99.49% 53.21%
Derivative
0.00% 0.00% 8.59% 38.53%
Securitized
0.00% 0.00% 41.52% 49.54%
Corporate
0.00% 0.00% 53.35% 58.72%
Municipal
0.00% 0.00% 1.06% 35.78%

Bond Geographic Breakdown

Weighting Return Low Return High ARCNX % Rank
US
6.68% 0.00% 143.78% 73.39%
Non US
0.00% -12.37% 18.13% 49.54%

Expenses

ARCNX - Expenses

Operational Fees

ARCNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.32% 0.01% 19.14% 58.33%
Management Fee 0.80% 0.00% 1.75% 52.29%
12b-1 Fee 0.25% 0.00% 1.00% 23.81%
Administrative Fee N/A 0.04% 0.45% N/A

Sales Fees

ARCNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.50% 5.75% N/A
Deferred Load N/A 1.00% 4.00% N/A

Trading Fees

ARCNX 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.

ARCNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 262.00% 3.96%

Distributions

ARCNX - Distributions

Dividend Yield Analysis

ARCNX Category Low Category High ARCNX % Rank
Dividend Yield 0.00% 0.00% 2.09% 29.36%

Dividend Distribution Analysis

ARCNX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Monthly Quarterly

Net Income Ratio Analysis

ARCNX Category Low Category High ARCNX % Rank
Net Income Ratio 0.79% -2.28% 3.57% 73.15%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

ARCNX - Fund Manager Analysis

Managers

Yao Ooi


Start Date

Tenure

Tenure Rank

Jul 09, 2012

8.07

8.1%

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.

Ari Levine


Start Date

Tenure

Tenure Rank

Jul 09, 2012

8.07

8.1%

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.

Ronen Israel


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.58

0.6%

Ronen Israel, M.A., is a Principal of AQR Capital Management. Mr. Israel joined AQR Capital Management in 1999, is the Co-Head of Portfolio Management, Research, Risk and Trading and is a member of the firm’s Executive Committee. Prior to joining AQR, Ronen was a Senior Analyst at Quantitative Financial Strategies, Inc., a quantitative investment management firm, specializing in currencies and global macro strategies, with $2.5 billion under management. Before that, he worked as a management consultant, specializing in building out financial systems for financial services firms. Ronen received an MA in Mathematics, specializing in mathematical finance, from Columbia University, a BS in Economics from The Wharton School at the University of Pennsylvania and a BAS in Biomedical Science from the School of Engineering and Applied Science at the University of Pennsylvania.

Lars Nielsen


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.58

0.6%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.33 15.19 6.02 9.67