QGMRX: AQR Global Macro R6

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QGMRX AQR Global Macro R6


Profile

QGMRX - Profile

Vitals

  • YTD Return -3.0%
  • 3 Yr Annualized Return 2.2%
  • 5 Yr Annualized Return -1.5%
  • Net Assets $25.3 M
  • Holdings in Top 10 N/A

52 WEEK LOW AND HIGH

$9.24
$9.07
$9.72

Expenses

OPERATING RELATED FEES

  • Expense Ratio 2.08%

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) $100,000
  • IRA N/A

Fund Classification

  • Primary Caregory
  • Fund Type Open End Mutual Fund
  • Investment Style Multialternative

Distributions

  • YTD Total Return -3.0%
  • 3 Yr Annualized Total Return 2.2%
  • 5 Yr Annualized Total Return -1.5%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.67%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Global Macro Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Sep 02, 2014
  • Shares Outstanding
    N/A
  • Share Class
    Retirement
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    Michael Katz

Fund Description

The fund invests globally across a wide range of asset classes, including equities, fixed income, currencies and commodities, and may take both "long" and "short" positions in each of the asset classes or Instruments. The advisor has the flexibility to shift its allocation across asset classes and markets around the world, including emerging markets, based on the Adviser's assessment of their relative attractiveness. The fund is non-diversified.


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Categories

QGMRX - Mutual Fund Categories


Performance

QGMRX - Performance

Return Ranking - Trailing

Period QGMRX Return Category Return Low Category Return High Rank in Category (%)
YTD -3.0% -40.9% 19.4% 33.33%
1 Yr -1.6% -48.9% 18.3% 22.97%
3 Yr 2.2%* -26.3% 5.4% 11.86%
5 Yr -1.5%* -26.7% 5.7% 11.76%
10 Yr N/A* -14.7% 11.3% N/A

* Annualized

Return Ranking - Calendar

Period QGMRX Return Category Return Low Category Return High Rank in Category (%)
2019 5.0% -39.6% 40.4% 33.78%
2018 3.8% -32.1% 18.9% 12.31%
2017 -3.5% -24.8% 48.2% 74.14%
2016 -5.5% -51.7% 12.8% 73.21%
2015 -3.4% -24.6% 18.1% 42.31%

Total Return Ranking - Trailing

Period QGMRX Return Category Return Low Category Return High Rank in Category (%)
YTD -3.0% -40.9% 19.4% 33.33%
1 Yr -1.6% -48.9% 18.3% 22.97%
3 Yr 2.2%* -26.3% 5.4% 11.86%
5 Yr -1.5%* -26.7% 5.7% 33.33%
10 Yr N/A* -14.7% 11.3% N/A

* Annualized

Total Return Ranking - Calendar

Period QGMRX Return Category Return Low Category Return High Rank in Category (%)
2019 5.0% -39.6% 40.4% 33.78%
2018 3.8% -32.1% 18.9% 12.31%
2017 -3.5% -19.4% 48.2% 77.59%
2016 -5.5% -51.7% 12.8% 73.21%
2015 -3.4% -24.6% 18.1% 59.62%

NAV & Total Return History


Holdings

QGMRX - Holdings

Concentration Analysis

QGMRX Category Low Category High QGMRX % Rank
Net Assets 25.3 M 925 K 2 B 52.00%
Number of Holdings 281 3 2747 37.14%
Net Assets in Top 10 -26.4 M -190 M 1.94 B 92.86%
Weighting of Top 10 N/A 0.0% 96.5% 2.65%

Top 10 Holdings

  1. Swap/09/21/2022/P:JPY/LIBOR/6M /R:JPY 0.00000_Pay 171.09%
  2. Swap/09/21/2022/P:SEK 0.00000 /R:SEK/STIBOR/3M_Receive 111.84%
  3. Swap/09/16/2022/P:GBP/LIBOR/6M /R:GBP 0.75000_Pay 107.00%
  4. Swap/09/16/2022/P:EUR -0.25000 /R:EUR/EURIBOR/6M_Receive 64.37%
  5. Swap/06/17/2022/P:GBP/LIBOR/6M /R:GBP 0.50000_Pay 30.11%
  6. Ubs Money Ser 28.93%
  7. Swap/09/16/2022/P:USD/LIBOR/3M /R:USD 1.50000_Pay 28.34%
  8. Swap/09/14/2022/P:NZD 1.00000 /R:NZD/BBR/3M_Receive 27.84%
  9. Swap/06/15/2022/P:CAD/BA/3M /R:CAD 1.50000_Pay 25.29%
  10. Swap/09/21/2022/P:NOK 1.00000 /R:NOK/NIBOR/6M_Receive 23.72%

Asset Allocation

Weighting Return Low Return High QGMRX % Rank
Cash
172.65% 5.65% 289.18% 2.86%
Other
52.64% -189.18% 94.35% 2.86%
Stocks
0.40% -6.75% 79.73% 60.00%
Preferred Stocks
0.00% 0.00% 9.22% 37.14%
Convertible Bonds
0.00% 0.00% 39.19% 61.43%
Bonds
-125.69% -125.69% 47.34% 97.14%

Stock Sector Breakdown

Weighting Return Low Return High QGMRX % Rank
Financial Services
20.26% -0.86% 55.51% 4.76%
Technology
15.64% -1.27% 15.64% 2.38%
Consumer Cyclical
10.36% -6.55% 12.72% 21.43%
Healthcare
9.73% -0.73% 25.33% 73.81%
Utilities
9.60% -0.17% 9.60% 2.38%
Industrials
9.14% -0.55% 32.12% 61.90%
Consumer Defense
6.64% -0.41% 20.93% 69.05%
Communication Services
6.01% -0.18% 17.31% 71.43%
Energy
5.96% -0.28% 7.82% 28.57%
Basic Materials
5.26% -0.13% 10.96% 66.67%
Real Estate
1.40% -0.14% 7.56% 57.14%

Stock Geographic Breakdown

Weighting Return Low Return High QGMRX % Rank
US
10.17% -14.00% 67.85% 8.57%
Non US
-9.77% -9.77% 79.73% 97.14%

Expenses

QGMRX - Expenses

Operational Fees

QGMRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.08% 0.79% 17.48% 66.22%
Management Fee 1.25% 0.50% 1.75% 80.00%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.04% 0.30% N/A

Sales Fees

QGMRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 4.75% 5.75% N/A
Deferred Load N/A 1.00% 1.00% N/A

Trading Fees

QGMRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.25% 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.

QGMRX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 326.00% 1.89%

Distributions

QGMRX - Distributions

Dividend Yield Analysis

QGMRX Category Low Category High QGMRX % Rank
Dividend Yield 0.00% 0.00% 1.55% 21.33%

Dividend Distribution Analysis

QGMRX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Annually Annually

Net Income Ratio Analysis

QGMRX Category Low Category High QGMRX % Rank
Net Income Ratio 0.67% -1.60% 3.37% 40.54%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

QGMRX - Fund Manager Analysis

Managers

Michael Katz


Start Date

Tenure

Tenure Rank

Apr 08, 2014

6.15

6.2%

Michael Katz, Ph.D., A.M., is a Principal of the Adviser. Dr. Katz joined the Adviser in 2007 and is Head of the Portfolio Implementation and Implementation Research team where he oversees the implementation of the Adviser’s products and models and enhancement of the implementation process. He earned a B.A. in economics and a B.A. in Middle East history, both with honors, at Tel Aviv University, and a M.A. and a Ph.D., both in economics, from Harvard University.

Jordan Brooks


Start Date

Tenure

Tenure Rank

Apr 08, 2014

6.15

6.2%

Jordan Brooks, Ph.D., M.A., is Managing Director of AQR Capital Management, LLC and joined AQR Capital Management, LLC in 2009. He earned a B.A. in economics and mathematics from Boston College, and an M.A. and a Ph.D., both in economics, from New York University in 2009.

John Liew


Start Date

Tenure

Tenure Rank

Apr 08, 2014

6.15

6.2%

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.

David Kupersmith


Start Date

Tenure

Tenure Rank

Apr 08, 2014

6.15

6.2%

David Kupersmith is the Principal of AQR Capital Management, LLC and joined AQR Capital Management, LLC in 2011 He earned a B.A. in history from Amherst College and an M.B.A. from Columbia Business School.

Yao Ooi


Start Date

Tenure

Tenure Rank

Jan 01, 2020

0.41

0.4%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.25 20.08 4.55 6.45