QMHIX: AQR Managed Futures Strategy HV Fund - MutualFunds.com
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AQR Managed Futures Strategy HV I

QMHIX - Snapshot

Vitals

  • YTD Return 5.6%
  • 3 Yr Annualized Return 0.9%
  • 5 Yr Annualized Return -3.5%
  • Net Assets $121 M
  • Holdings in Top 10 N/A

52 WEEK LOW AND HIGH

$7.40
$6.68
$7.83

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.76%

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 Theme N/A
  • Fund Type Open End Mutual Fund
  • Investment Style Systematic Trend

Compare QMHIX to Popular Funds and ETFs

Overview

Income Profile

Income Risk

Returns Profile

Allocations

Expenses

About

$107.52

+0.32%

$1.22 T

-

$0.00

13.53%

0.14%

$220.37

+0.44%

$1.22 T

0.98%

$2.15

13.55%

0.03%

$389.41

+0.46%

$739.47 B

1.39%

$5.39

13.50%

0.03%

$393.08

+0.20%

$739.47 B

-

$0.00

13.41%

0.14%

$67.34

+0.45%

$405.62 B

1.99%

$1.34

12.07%

0.08%

QMHIX - Profile

Distributions

  • YTD Total Return 5.6%
  • 3 Yr Annualized Total Return 0.9%
  • 5 Yr Annualized Total Return -3.5%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -0.83%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AQR Managed Futures Strategy HV Fund
  • Fund Family Name
    AQR Funds
  • Inception Date
    Jul 16, 2013
  • Shares Outstanding
    N/A
  • Share Class
    Inst
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    John Liew

Fund Description

The fund allocates its assets among four major asset classes (commodities, currencies, fixed income and equities). It gains exposure to asset classes by investing in more than 100 futures contracts, futures-related instruments, forwards and swaps, including, but not limited to, commodity futures, forwards and swaps; currencies and currency futures and forwards; equity index futures and equity swaps; bond futures and swaps; and interest rate futures and swaps. The fund is non-diversified.


QMHIX - Performance

Return Ranking - Trailing

Period QMHIX Return Category Return Low Category Return High Rank in Category (%)
YTD 5.6% -7.4% 14.6% 63.83%
1 Yr 2.5% -16.1% 36.5% 78.49%
3 Yr 0.9%* -7.9% 13.3% 82.02%
5 Yr -3.5%* -5.3% 10.0% 97.59%
10 Yr N/A* -2.4% 4.3% N/A

* Annualized

Return Ranking - Calendar

Period QMHIX Return Category Return Low Category Return High Rank in Category (%)
2020 -9.6% -16.4% 12.9% 86.02%
2019 -2.3% -9.3% 17.5% 52.17%
2018 -14.4% -25.8% 2.2% 90.70%
2017 -1.7% -5.1% 21.0% 85.53%
2016 -13.1% -20.3% 4.6% 84.51%

Total Return Ranking - Trailing

Period QMHIX Return Category Return Low Category Return High Rank in Category (%)
YTD 5.6% -7.4% 14.6% 63.83%
1 Yr 2.5% -20.3% 36.5% 73.12%
3 Yr 0.9%* -9.0% 11.1% 78.65%
5 Yr -3.5%* -5.7% 8.7% 96.39%
10 Yr N/A* -2.4% 4.3% N/A

* Annualized

Total Return Ranking - Calendar

Period QMHIX Return Category Return Low Category Return High Rank in Category (%)
2020 -9.6% -16.4% 12.9% 86.02%
2019 -2.3% -9.3% 17.5% 52.17%
2018 -14.4% -20.3% 2.5% 91.86%
2017 -1.7% -5.1% 21.0% 89.47%
2016 -13.1% -20.3% 6.7% 88.73%

NAV & Total Return History


QMHIX - Holdings

Concentration Analysis

QMHIX Category Low Category High QMHIX % Rank
Net Assets 121 M 2.12 M 1.74 B 58.51%
Number of Holdings 239 3 876 35.11%
Net Assets in Top 10 -139 M -100 M 2.04 B 40.43%
Weighting of Top 10 N/A 20.3% 94.0% 0.30%

Top 10 Holdings

  1. 2 Year Treasury Note Future Sept 20 179.31%
  2. 2 Year Treasury Note Future Sept 20 179.31%
  3. 2 Year Treasury Note Future Sept 20 179.31%
  4. 2 Year Treasury Note Future Sept 20 179.31%
  5. 2 Year Treasury Note Future Sept 20 179.31%
  6. 2 Year Treasury Note Future Sept 20 179.31%
  7. 2 Year Treasury Note Future Sept 20 179.31%
  8. 2 Year Treasury Note Future Sept 20 179.31%
  9. 2 Year Treasury Note Future Sept 20 179.31%
  10. 2 Year Treasury Note Future Sept 20 179.31%

Asset Allocation

Weighting Return Low Return High QMHIX % Rank
Bonds
159.49% -50.36% 717.59% 2.13%
Other
32.30% 0.00% 58.63% 14.89%
Stocks
28.28% -1.78% 72.26% 20.21%
Preferred Stocks
0.00% 0.00% 0.13% 31.91%
Convertible Bonds
0.00% 0.00% 2.27% 43.62%
Cash
-120.06% -687.11% 117.03% 98.94%

Stock Sector Breakdown

Weighting Return Low Return High QMHIX % Rank
Financial Services
22.23% 0.00% 30.46% 17.19%
Technology
19.74% 0.00% 45.08% 29.69%
Consumer Cyclical
15.13% 0.00% 21.37% 35.94%
Communication Services
14.43% 0.03% 20.13% 25.00%
Consumer Defense
6.56% 0.00% 14.38% 46.88%
Energy
5.09% 0.00% 6.41% 17.19%
Basic Materials
5.04% 0.00% 12.01% 51.56%
Healthcare
4.52% 0.00% 16.51% 93.75%
Industrials
3.60% 0.00% 17.73% 84.38%
Real Estate
2.19% 0.27% 99.97% 59.38%
Utilities
1.45% 0.00% 4.63% 73.44%

Stock Geographic Breakdown

Weighting Return Low Return High QMHIX % Rank
Non US
20.53% 0.00% 40.59% 22.34%
US
7.75% -5.85% 56.89% 27.66%

Bond Sector Breakdown

Weighting Return Low Return High QMHIX % Rank
Derivative
47.68% 0.00% 63.99% 6.38%
Government
47.56% 0.00% 82.10% 22.34%
Cash & Equivalents
4.76% 1.07% 100.00% 95.74%
Securitized
0.00% 0.00% 64.73% 43.62%
Corporate
0.00% 0.00% 31.20% 47.87%
Municipal
0.00% 0.00% 6.83% 34.04%

Bond Geographic Breakdown

Weighting Return Low Return High QMHIX % Rank
Non US
123.46% -77.11% 655.95% 2.13%
US
36.03% -169.44% 233.08% 20.21%

QMHIX - Expenses

Operational Fees

QMHIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.76% 0.75% 12.88% 65.59%
Management Fee 1.45% 0.65% 2.99% 61.70%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.09% 0.45% N/A

Sales Fees

QMHIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 3.50% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

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

QMHIX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 0.00% 0.00% 198.00% 5.71%

QMHIX - Distributions

Dividend Yield Analysis

QMHIX Category Low Category High QMHIX % Rank
Dividend Yield 0.00% 0.00% 0.00% 25.53%

Dividend Distribution Analysis

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

Net Income Ratio Analysis

QMHIX Category Low Category High QMHIX % Rank
Net Income Ratio -0.83% -3.14% 1.55% 69.89%

Capital Gain Distribution Analysis

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

Dividend Payout History

View More +

QMHIX - Fund Manager Analysis

Managers

John Liew


Start Date

Tenure

Tenure Rank

Jul 16, 2013

7.88

7.9%

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

Jul 16, 2013

7.88

7.9%

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

Jul 16, 2013

7.88

7.9%

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

7.09

7.1%

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.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.16 14.09 5.41 5.06