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AQR Managed Futures Strategy Fund
mutual fund
AQMIX
Dividend policy
Active
Price as of:
$7.93
-0.01
0%
primary theme
Managed Futures
share class
AQMIX (Mutual Fund)
AQR Managed Futures Strategy Fund
Dividend policy
Active
Price as of:
$7.93
-0.01
0%
primary theme
Managed Futures
share class
AQMIX - Snapshot
Vitals
- YTD Return 1.0%
- 3 Yr Annualized Return -2.6%
- 5 Yr Annualized Return -3.5%
- Net Assets $2.25 B
- Holdings in Top 10 N/A
52 WEEK LOW AND HIGH
$7.94
$7.68
$8.77
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 Theme Managed Futures
- Fund Type Open End Mutual Fund
- Investment Style Managed Futures
Overview
Next Dividend
Income Profile
Income Risk
Returns Profile
Allocations
Expenses
About
Dividend.com Ratings*
$7.93
-0.13%
$2.25 B
5.25%
$0.42
blocked
blocked
blocked
1.02%
-
$10.44
-0.10%
$1.48 B
3.35%
$0.35
blocked
blocked
blocked
1.56%
-
$10.39
-0.48%
$845.67 M
4.12%
$0.43
blocked
blocked
blocked
1.27%
-
$8.05
+0.25%
$166.14 M
2.19%
$0.18
blocked
blocked
blocked
2.03%
-
Overview
Next Dividend
Income Profile
Income Risk
Returns Profile
Allocations
Expenses
About
Dividend.com Ratings*
$46.32
+0.77%
$40.54 M
0.02%
$0.01
blocked
blocked
blocked
2.27%
-
AQMIX - Profile
Distributions
- YTD Total Return 1.0%
- 3 Yr Annualized Total Return -2.6%
- 5 Yr Annualized Total Return -3.5%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio 1.00%
- Dividend Yield 0.0%
- Dividend Distribution Frequency Annually
Fund Details
-
Legal NameAQR Managed Futures Strategy Fund
-
Fund Family NameAQR Funds
-
Inception DateJan 06, 2010
-
Shares OutstandingN/A
-
Share ClassInst
-
CurrencyUSD
-
Domiciled CountryUnited States
-
ManagerJohn Liew
AQMIX - Performance
Return Ranking - Trailing
| Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 1.0% | -1.8% | 4.2% | 75.25% |
| 1 Yr | -0.4% | -16.4% | 24.9% | 72.00% |
| 3 Yr | -2.6%* | -8.4% | 8.5% | 70.83% |
| 5 Yr | -3.5%* | -6.1% | 8.2% | 95.40% |
| 10 Yr | -0.1%* | -2.4% | 4.9% | 47.62% |
* Annualized
Return Ranking - Calendar
| Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2020 | -5.5% | -16.4% | 12.9% | 75.00% |
| 2019 | -1.2% | -9.3% | 17.5% | 46.46% |
| 2018 | -8.9% | -25.8% | 2.2% | 58.06% |
| 2017 | -1.0% | -5.1% | 21.0% | 79.52% |
| 2016 | -8.4% | -20.3% | 8.1% | 73.08% |
Total Return Ranking - Trailing
| Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 1.0% | -1.8% | 4.2% | 75.25% |
| 1 Yr | -0.4% | -20.6% | 24.9% | 62.00% |
| 3 Yr | -2.6%* | -9.6% | 6.4% | 68.75% |
| 5 Yr | -3.5%* | -6.1% | 6.9% | 94.25% |
| 10 Yr | -0.1%* | -2.4% | 4.9% | 47.62% |
* Annualized
Total Return Ranking - Calendar
| Period | AQMIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2020 | -5.5% | -16.4% | 12.9% | 75.00% |
| 2019 | -1.2% | -9.3% | 17.5% | 46.46% |
| 2018 | -8.9% | -20.3% | 2.5% | 62.37% |
| 2017 | -1.0% | -5.1% | 21.0% | 83.13% |
| 2016 | -8.4% | -20.3% | 10.8% | 76.92% |
NAV & Total Return History
AQMIX - Holdings
Concentration Analysis
| AQMIX | Category Low | Category High | AQMIX % Rank | |
|---|---|---|---|---|
| Net Assets | 2.25 B | 2.08 M | 2.25 B | 0.99% |
| Number of Holdings | 269 | 3 | 806 | 20.79% |
| Net Assets in Top 10 | 8.31 B | -85.2 K | 8.31 B | 0.99% |
| Weighting of Top 10 | N/A | 10.7% | 95.0% | 8.03% |
Top 10 Holdings
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
- 2 Year Treasury Note Future Sept 20 114.39%
Asset Allocation
| Weighting | Return Low | Return High | AQMIX % Rank | |
|---|---|---|---|---|
| Bonds | 700.00% | -1748.87% | 1098.49% | 6.93% |
| Stocks | 40.34% | -1.07% | 83.59% | 7.92% |
| Other | 22.41% | -2.72% | 110.47% | 43.56% |
| Preferred Stocks | 0.01% | 0.00% | 0.33% | 7.92% |
| Convertible Bonds | 0.00% | 0.00% | 3.34% | 73.27% |
| Cash | -662.75% | -1091.34% | 1796.70% | 92.08% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | AQMIX % Rank | |
|---|---|---|---|---|
| Technology | 19.92% | 0.00% | 45.08% | 35.21% |
| Financial Services | 19.08% | 0.00% | 24.27% | 14.08% |
| Consumer Cyclical | 14.83% | 0.00% | 21.37% | 35.21% |
| Communication Services | 11.40% | 0.00% | 20.12% | 28.17% |
| Healthcare | 6.80% | 0.00% | 20.05% | 77.46% |
| Industrials | 6.62% | 0.00% | 17.73% | 71.83% |
| Consumer Defense | 6.43% | 0.00% | 10.57% | 36.62% |
| Basic Materials | 5.90% | 0.00% | 14.55% | 43.66% |
| Energy | 4.94% | 0.00% | 9.45% | 14.08% |
| Real Estate | 2.08% | 0.19% | 100.00% | 59.15% |
| Utilities | 1.98% | 0.00% | 8.17% | 61.97% |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | AQMIX % Rank | |
|---|---|---|---|---|
| Non US | 26.10% | -11.64% | 44.83% | 9.90% |
| US | 14.24% | -41.23% | 67.18% | 30.69% |
Bond Sector Breakdown
| Weighting | Return Low | Return High | AQMIX % Rank | |
|---|---|---|---|---|
| Government | 52.82% | 0.00% | 76.56% | 16.83% |
| Derivative | 42.80% | 0.00% | 67.78% | 11.88% |
| Cash & Equivalents | 4.38% | 1.02% | 100.00% | 89.11% |
| Securitized | 0.00% | 0.00% | 70.06% | 73.27% |
| Corporate | 0.00% | 0.00% | 27.36% | 73.27% |
| Municipal | 0.00% | 0.00% | 7.85% | 67.33% |
Bond Geographic Breakdown
| Weighting | Return Low | Return High | AQMIX % Rank | |
|---|---|---|---|---|
| Non US | 624.25% | 0.00% | 1014.17% | 6.93% |
| US | 75.75% | -1748.87% | 135.30% | 16.83% |
AQMIX - Expenses
Operational Fees
| AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 1.21% | 0.75% | 9.89% | 94.00% |
| Management Fee | 1.05% | 0.65% | 2.99% | 35.64% |
| 12b-1 Fee | N/A | 0.00% | 1.00% | N/A |
| Administrative Fee | N/A | 0.09% | 0.45% | N/A |
Sales Fees
| AQMIX 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% | 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% | 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.
| AQMIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | 0.00% | 0.00% | 198.00% | 14.08% |
AQMIX - Distributions
Dividend Yield Analysis
| AQMIX | Category Low | Category High | AQMIX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 0.00% | 0.00% | 0.14% | 61.39% |
Dividend Distribution Analysis
| AQMIX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annually | Annually | Monthly | Annually |
Net Income Ratio Analysis
| AQMIX | Category Low | Category High | AQMIX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | 1.00% | -2.10% | 2.02% | 12.00% |
Capital Gain Distribution Analysis
| AQMIX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Annually | Annually | Annually |
Dividend Payout History
| Date | Amount |
|---|---|
| Dec 21, 2016 | $0.002 |
| Dec 22, 2015 | $0.457 |
| Dec 22, 2014 | $0.478 |
| Dec 17, 2012 | $0.075 |
| Dec 20, 2010 | $0.088 |
AQMIX - Fund Manager Analysis
Managers
John Liew
Start Date
Tenure
Tenure Rank
Jan 06, 2010
10.99
11.0%
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
10.99
11.0%
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
10.99
11.0%
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
6.67
6.7%
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 |
|---|---|---|---|
| 0.08 | 13.84 | 5.27 | 4.81 |
