AQMIX: AQR Managed Futures Strategy I

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AQMIX AQR Managed Futures Strategy I


Profile

AQMIX - Profile

Vitals

  • YTD Return 2.5%
  • 3 Yr Annualized Return -1.8%
  • 5 Yr Annualized Return -5.2%
  • Net Assets $3.94 B
  • Holdings in Top 10 N/A

52 WEEK LOW AND HIGH

$8.52
$8.14
$9.32

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.21%

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 2.5%
  • 3 Yr Annualized Total Return -1.8%
  • 5 Yr Annualized Total Return -5.2%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 1.00%
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

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Categories

Performance

AQMIX - Performance

Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
YTD 2.5% -31.9% 9.8% 4.53%
1 Yr -0.1% -37.9% 15.4% 30.68%
3 Yr -1.8%* -25.3% 2.9% 41.61%
5 Yr -5.2%* -18.0% 18.5% 92.17%
10 Yr -1.3%* -12.8% 10.9% 73.73%

* Annualized

Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
2019 -1.2% -21.7% 32.8% 95.97%
2018 -8.9% -35.5% 3.9% 52.64%
2017 -1.0% -15.9% 20.0% 94.82%
2016 -8.4% -13.3% 210.7% 98.28%
2015 -4.2% -29.9% 5.0% 21.38%

Total Return Ranking - Trailing

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
YTD 2.5% -31.9% 9.8% 4.53%
1 Yr -0.1% -37.9% 15.4% 30.68%
3 Yr -1.8%* -25.3% 4.7% 56.54%
5 Yr -5.2%* -18.0% 26.6% 95.18%
10 Yr 0.0%* -12.8% 13.4% 54.84%

* Annualized

Total Return Ranking - Calendar

Period AQMIX Return Category Return Low Category Return High Rank in Category (%)
2019 -1.2% -21.7% 32.8% 95.97%
2018 -8.9% -35.5% 3.9% 65.84%
2017 -1.0% -15.9% 21.6% 96.89%
2016 -8.4% -13.3% 233.7% 98.28%
2015 -4.2% -29.9% 6.6% 35.44%

NAV & Total Return History


Holdings

AQMIX - Holdings

Concentration Analysis

AQMIX Category Low Category High AQMIX % Rank
Net Assets 3.94 B 902 K 13.6 B 7.28%
Number of Holdings 240 4 3983 43.38%
Net Assets in Top 10 7.15 B -1.05 B 61.1 B 0.70%
Weighting of Top 10 N/A 5.6% 288.6% 8.03%

Top 10 Holdings

  1. 3 Year Australian Treasury Bond Future June 20 39.30%
  2. 90 Day Bank Accepted Bills Future Dec 20 22.67%
  3. Ubs Relationship Fds 21.64%
  4. 90 Day Bank Accepted Bills Future Sept 20 16.77%
  5. 3 Month Sterling Short Sterling Future Dec 21 11.90%
  6. 3 Month Sterling Short Sterling Future Mar 22 11.80%
  7. 3 Month Sterling Short Sterling Future Sept 21 11.44%
  8. 3 Month Sterling Short Sterling Future June 21 11.27%
  9. 3 Month Sterling Short Sterling Future Mar 21 10.39%
  10. United States Treasury Bills 9.62%

Asset Allocation

Weighting Return Low Return High AQMIX % Rank
Bonds
257.09% 80.03% 7956.53% 1.97%
Other
21.63% -17.44% 51.06% 2.25%
Stocks
0.82% -100.67% 110.51% 24.19%
Preferred Stocks
0.00% 0.00% 5.57% 65.63%
Convertible Bonds
0.00% 0.00% 19.52% 84.23%
Cash
-179.53% -7876.18% 78.90% 97.46%

Stock Sector Breakdown

Weighting Return Low Return High AQMIX % Rank
Technology
22.10% -0.38% 100.00% 10.49%
Financial Services
15.56% -0.26% 100.00% 39.13%
Communication Services
11.95% -0.05% 100.00% 5.88%
Consumer Cyclical
10.52% -0.20% 100.00% 21.48%
Healthcare
9.48% -0.22% 100.00% 47.83%
Industrials
8.41% -0.16% 98.77% 40.92%
Consumer Defense
7.70% -0.12% 38.22% 36.57%
Basic Materials
5.77% -0.04% 100.00% 28.39%
Energy
5.38% -0.08% 100.00% 35.55%
Utilities
1.89% -0.05% 12.83% 45.01%
Real Estate
1.25% -0.04% 24.42% 44.76%

Stock Geographic Breakdown

Weighting Return Low Return High AQMIX % Rank
US
3.07% -100.63% 101.50% 20.00%
Non US
-2.25% -7.70% 99.98% 98.45%

Bond Sector Breakdown

Weighting Return Low Return High AQMIX % Rank
Derivative
68.32% -0.31% 70.24% 0.56%
Government
28.27% -0.16% 263.38% 75.35%
Cash & Equivalents
3.42% -221.24% 43.57% 74.37%
Securitized
0.00% 0.00% 90.58% 76.62%
Corporate
0.00% 0.00% 94.19% 97.46%
Municipal
0.00% 0.00% 41.00% 65.49%

Bond Geographic Breakdown

Weighting Return Low Return High AQMIX % Rank
Non US
181.33% -0.30% 329.40% 0.85%
US
75.76% -38.08% 7927.09% 11.55%

Expenses

AQMIX - Expenses

Operational Fees

AQMIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.21% 0.01% 38.91% 54.27%
Management Fee 1.05% 0.00% 2.50% 92.85%
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 2.25% 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 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.

AQMIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 451.00% 2.44%

Distributions

AQMIX - Distributions

Dividend Yield Analysis

AQMIX Category Low Category High AQMIX % Rank
Dividend Yield 0.00% 0.00% 4.68% 62.75%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

AQMIX Category Low Category High AQMIX % Rank
Net Income Ratio 1.00% -2.28% 11.37% 90.21%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

Fund Manager Analysis

AQMIX - Fund Manager Analysis

Managers

John Liew


Start Date

Tenure

Tenure Rank

Jan 06, 2010

10.32

10.3%

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

10.32

10.3%

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.

Clifford Asness


Start Date

Tenure

Tenure Rank

Jan 06, 2010

10.32

10.3%

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

6.0

6.0%

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
0.04 28.11 5.86 10.67