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ARCNX AQR Risk-Balanced Commodities Strategy N

  • Fund
  • ARCNX
  • Price as of: Sep 19, 2019
  • $6.08 - $0.01 - 0.16%

ARCNX - Profile

Vitals

  • YTD Return 9.0%
  • 3 Yr Annualized Return -1.8%
  • 5 Yr Annualized Return -5.0%
  • Net Assets $245 M
  • Holdings in Top 10 80.9%

52 WEEK LOW AND HIGH

$6.08
$5.45
$6.32

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.27%

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

$1,000,000

Fund Classification

PRIMARY CATEGORY

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

Distributions

  • YTD Total Return 9.0%
  • 3 Yr Annualized Total Return -0.3%
  • 5 Yr Annualized Total Return -4.2%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio 0.45%
DIVIDENDS
  • Dividend Yield 0.3%
  • 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 Brian K. Hurst

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.

ARCNX - Performance

Return Ranking - Trailing

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.0% -3.8% 11.2% 19.09%
1 Yr 2.4% -40.7% 8.1% 3.67%
3 Yr -1.8%* -10.9% 0.9% 30.85%
5 Yr -5.0%* -22.9% -3.5% 13.92%
10 Yr N/A* -15.4% 17.9% N/A

* Annualized


Return Ranking - Calendar

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
2018 -18.1% -42.9% -0.2% 62.24%
2017 10.2% -13.1% 10.5% 3.19%
2016 11.0% 3.1% 22.1% 54.84%
2015 -19.7% -64.9% -7.2% 24.10%
2014 -16.0% -34.3% 669.0% 29.17%

Total Return Ranking - Trailing

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
YTD 9.0% -3.8% 11.2% 19.09%
1 Yr 2.4% -40.7% 8.1% 3.67%
3 Yr -0.3%* -10.9% 3.8% 36.17%
5 Yr -4.2%* -20.2% -3.5% 7.59%
10 Yr N/A* -12.0% 21.2% N/A

* Annualized


Total Return Ranking - Calendar

Period ARCNX Return Category Return Low Category Return High Rank in Category (%)
2018 -18.1% -42.9% -0.2% 82.65%
2017 10.2% -8.3% 10.9% 7.45%
2016 16.1% 3.1% 23.2% 10.75%
2015 -19.7% -62.9% -7.2% 24.10%
2014 -16.0% -34.3% 698.3% 29.17%

NAV & Total Return History

ARCNX - Holdings

Concentration Analysis

ARCNX Category Low Category High ARCNX % Rank
Net Assets 245 M 1.2 M 7.09 B 68.47%
Number of Holdings 18 2 958 69.37%
Net Assets in Top 10 202 M -699 M 2.94 B 45.95%
Weighting of Top 10 80.91% 8.5% 165.3% 33.33%

Top 10 Holdings

  1. Ubs Money Ser 40.51%

  2. Ubs Relationship Fds 22.46%

  3. United States Treasury Bills 3.55%

  4. United States Treasury Bills 3.36%

  5. United States Treasury Bills 2.81%

  6. United States Treasury Bills 2.61%

  7. United States Treasury Bills 2.61%

  8. United States Treasury Bills 1.10%

  9. United States Treasury Bills 1.09%

  10. United States Treasury Bills 0.81%


Asset Allocation

Weighting Return Low Return High ARCNX % Rank
Other
62.97% -11.24% 106.81% 9.01%
Bonds
18.76% 0.00% 93.87% 79.28%
Cash
18.27% -68.44% 111.24% 59.46%
Stocks
0.00% 0.00% 48.65% 51.35%
Preferred Stocks
0.00% 0.00% 0.00% 29.73%
Convertible Bonds
0.00% 0.00% 1.64% 53.15%

Bond Sector Breakdown

Weighting Return Low Return High ARCNX % Rank
Cash & Equivalents
33.95% -68.44% 111.24% 45.05%
Government
3.08% -13.32% 84.60% 75.68%
Derivative
0.00% -22.54% 0.42% 30.63%
Securitized
0.00% 0.00% 41.62% 54.05%
Corporate
0.00% 0.00% 57.39% 63.06%
Municipal
0.00% 0.00% 0.46% 36.04%

Bond Geographic Breakdown

Weighting Return Low Return High ARCNX % Rank
US
18.76% 0.00% 84.60% 79.28%
Non US
0.00% -11.51% 31.17% 53.15%

ARCNX - Expenses

Operational Fees

ARCNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.27% 0.05% 12.59% 59.63%
Management Fee 0.80% 0.00% 1.75% 51.35%
12b-1 Fee 0.25% 0.00% 1.00% 32.86%
Administrative Fee N/A 0.01% 0.45% N/A

Sales Fees

ARCNX 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

ARCNX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 2.00% N/A

Turnover 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% 5463.00% 4.59%

ARCNX - Distributions

Dividend Yield Analysis

ARCNX Category Low Category High ARCNX % Rank
Dividend Yield 0.27% 0.00% 46.73% 76.58%

Dividend Distribution Analysis

ARCNX Category Low Category High Category Mode
Dividend Distribution Frequency Annually Annually Monthly Annually

Dividend Payout History


Net Income Ratio Analysis

ARCNX Category Low Category High ARCNX % Rank
Net Income Ratio 0.45% -1.16% 2.35% 67.89%

Capital Gain Distribution Analysis

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

ARCNX - Managers

Brian K. Hurst

Manager

Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.15

7.2%

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.


Yao Hua Ooi

Manager

Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.15

7.2%

Yao Hua is a Principal in the Global Asset Allocation team, focusing on research and portfolio management of macro-related strategies that include commodities, risk parity and managed futures. His research has been published in the Journal of Financial Economics and the Journal of Investment Management, and he shared the 2013 Whitebox Prize for his work on time series momentum. Prior to AQR, he structured interest rate derivative products at UBS. Yao Hua is an alumnus of the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, where he earned a B.S. in economics from the Wharton School and a B.S. in engineering from the School of Engineering and Applied Science, majoring in finance and computer engineering and graduating summa cum laude in both.


Ari Levine

Manager

Start Date

Tenure

Tenure Rank

Jul 09, 2012

7.15

7.2%

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

0.18

Category High

14.28

Category Average

5.97

Category Mode

8.76