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AQR Managed Futures Strategy HV Fund
mutual fund
QMHIX
Payout Change
Pending
Price as of:
$8.49
+0.05
+0.59%
primary theme
N/A
share class
QMHIX (Mutual Fund)
AQR Managed Futures Strategy HV Fund
Payout Change
Pending
Price as of:
$8.49
+0.05
+0.59%
primary theme
N/A
share class
QMHIX (Mutual Fund)
AQR Managed Futures Strategy HV Fund
Payout Change
Pending
Price as of:
$8.49
+0.05
+0.59%
primary theme
N/A
share class
Name
As of 12/12/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
Vitals
YTD Return
10.1%
1 yr return
8.8%
3 Yr Avg Return
18.4%
5 Yr Avg Return
10.1%
Net Assets
$265 M
Holdings in Top 10
73.8%
52 WEEK LOW AND HIGH
$8.4
N/A
N/A
Expenses
OPERATING FEES
Expense Ratio 3.42%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 0.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
$5,000,000
IRA
N/A
Fund Classification
Fund Type
Open End Mutual Fund
Name
As of 12/12/2024Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
QMHIX - Profile
Distributions
- YTD Total Return 10.1%
- 3 Yr Annualized Total Return 18.4%
- 5 Yr Annualized Total Return 10.1%
- Capital Gain Distribution Frequency Annually
- Net Income Ratio -1.65%
- Dividend Yield 7.1%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameAQR Managed Futures Strategy HV Fund
-
Fund Family NameAQR FUNDS
-
Inception DateJul 16, 2013
-
Shares OutstandingN/A
-
Share ClassI
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerJohn Liew
Fund Description
The Fund pursues its investment objective by allocating assets among four major asset classes (commodities, currencies, equities and fixed income).The “HV” in the Fund’s name reflects its “higher volatility” approach. The Adviser, on average, will target an annualized volatility level for the Fund ranging between 7% and 20%. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. The actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above.Generally, the Fund gains exposure to asset classes by investing in several hundred futures contracts, futures-related instruments, forwards and swaps, including, but not limited to, commodity futures, forwards and swaps; currencies, currency futures and forwards; equities, equity index futures, equity swaps and volatility futures; bond futures and swaps; interest rate futures and swaps and credit default index swaps (collectively, the “Instruments”). The Fund may either invest directly in the Instruments or indirectly by investing in the Subsidiary (as described below) that invests in the Instruments. There are no geographic limits on the market exposure of the Fund’s assets. This flexibility allows the Adviser to look for investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will enhance the Fund’s ability to meet its objective. The Fund may also invest in exchange-traded funds or exchange-traded notes through which the Fund can participate in the performance of one or more Instruments. The Fund’s return is expected to be derived principally from changes in the value of securities and its portfolio is expected to consist principally of securities.The Adviser uses a proprietary, systematic and quantitative process which seeks to benefit from price trends in commodity, currency, equity, volatility, credit and fixed income Instruments. As part of this process, the Fund will take either a long or short position in a given Instrument. The size and type (long or short) of the position taken will relate to various factors, including the Adviser’s systematic assessment of a trend, utilizing both price and fundamental data, and its likelihood of continuing as well as the Adviser’s estimate of the Instrument’s risk. The owner of a long position in an instrument will benefit from an increase in the price of the instrument, or, in the case of a derivative instrument, from an increase in the price of the underlying instrument. The owner of a short position in an instrument will benefit from a decrease in the price of the instrument, or, in the case of a derivative instrument, from a decrease in the price of the underlying instrument. The Adviser generally expects that the Fund will have exposure in long and short positions across all four major asset classes (commodities, currencies, fixed income and equities), but at any one time the Fund may emphasize one or two of the asset classes or a limited number of exposures within an asset class. The Fund may have exposure to companies of any market capitalization. There is no percentage limit on the Fund's exposure to below investment-grade fixed income securities or to small less-liquid equity securities.Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The Fund’s use of futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an Instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund did not use Instruments that have a leveraging effect. For example, if the Adviser seeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the asset class and that Instrument increases in value, the gain to the Fund will be magnified. If that investment decreases in value, however, the loss to the Fund will be magnified. A decline in the Fund’s assets due to losses magnified by the Instruments providing leveraged exposure may require the Fund to liquidate portfolio positions to satisfy its obligations or to meet redemption requests when it may not be advantageous to do so. There is no assurance that the Fund’s use of Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.As a result of the Fund’s strategy, the Fund may have highly leveraged exposure to one or more asset classes at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the Fund’s ability to use leverage; however, the Fund is not subject to any additional limitations on its net long and short exposures. For example, the Fund, on average, could hold instruments that provide five to six times the net return of a broad- or narrow-based securities index. For more information on these and other risk factors, please see the “Principal Risks of Investing in the Fund” section of the prospectus.When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Fund’s strategy will result in frequent portfolio trading and high portfolio turnover (typically greater than 300% per year).The Adviser will consider the potential federal income tax impact on a shareholders’ after-tax investment return of certain trading decisions, including but not limited to, selling or closing out of Instruments to realize losses, or to refrain from selling or closing out of Instruments to avoid realizing gains, when determined by the Adviser to be appropriate. The Adviser will also take into consideration various tax rules pertaining to holding periods, wash sales and tax straddles.A significant portion of the Fund's assets may be held in cash or cash equivalent investments, with one year or less to maturity, including, but not limited to, money market instruments and U.S. Government securities (collectively, “Cash Equivalents”). The cash or Cash Equivalent holdings earn income for the Fund and can be held as unencumbered assets of the Fund or serve as collateral for the positions that the Fund takes on.The Fund intends to make investments through the Subsidiary and may invest up to 25% of its total assets in the Subsidiary. Generally, the Subsidiary will invest primarily in commodity-linked derivative instruments, such as commodity futures, forwards and swaps (which may include swaps on commodity futures), and will hold cash and Cash Equivalents. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 on a consolidated basis with respect to investments in derivatives. In addition, the Fund and the Subsidiary will be subject to the same fundamental investment restrictions on a consolidated basis and, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company under Subchapter M of the Code. The Fund is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors.
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QMHIX - Performance
Return Ranking - Trailing
| Period | QMHIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 10.1% | -7.4% | 14.6% | 63.83% |
| 1 Yr | 8.8% | -16.1% | 36.5% | 78.49% |
| 3 Yr | 18.4%* | -7.9% | 13.3% | 82.02% |
| 5 Yr | 10.1%* | -5.3% | 10.0% | 97.59% |
| 10 Yr | 2.3%* | -2.4% | 4.3% | N/A |
* Annualized
Return Ranking - Calendar
| Period | QMHIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -7.7% | -16.4% | 12.9% | 86.02% |
| 2022 | 37.1% | -9.3% | 17.5% | 52.17% |
| 2021 | -11.9% | -25.8% | 2.2% | 90.70% |
| 2020 | -9.6% | -5.1% | 21.0% | 85.53% |
| 2019 | -2.3% | -20.3% | 4.6% | 84.51% |
Total Return Ranking - Trailing
| Period | QMHIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | 10.1% | -7.4% | 14.6% | 63.83% |
| 1 Yr | 8.8% | -20.3% | 36.5% | 73.12% |
| 3 Yr | 18.4%* | -9.0% | 11.1% | 78.65% |
| 5 Yr | 10.1%* | -5.7% | 8.7% | 96.39% |
| 10 Yr | 2.3%* | -2.4% | 4.3% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | QMHIX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -0.6% | -16.4% | 12.9% | 86.02% |
| 2022 | 50.0% | -9.3% | 17.5% | 52.17% |
| 2021 | -2.1% | -20.3% | 2.5% | 91.86% |
| 2020 | -0.6% | -5.1% | 21.0% | 89.47% |
| 2019 | 1.8% | -20.3% | 6.7% | 88.73% |
NAV & Total Return History
QMHIX - Holdings
Concentration Analysis
| QMHIX | Category Low | Category High | QMHIX % Rank | |
|---|---|---|---|---|
| Net Assets | 265 M | 2.12 M | 1.74 B | 58.51% |
| Number of Holdings | 3247 | 3 | 876 | 35.11% |
| Net Assets in Top 10 | 194 M | -100 M | 2.04 B | 40.43% |
| Weighting of Top 10 | 73.77% | 20.3% | 94.0% | 0.30% |
Top 10 Holdings
- Limited Purpose Cash Investment Fund 32.06%
- U.S. Treasury Bills 9.06%
- U.S. Treasury Bills 7.94%
- U.S. Treasury Bills 6.37%
- U.S. Treasury Bills 5.68%
- U.S. Treasury Bills 3.38%
- U.S. Treasury Bills 3.28%
- Goldman Sachs Financial Square Funds - Treasury Instruments Fund, Institutional Shares 2.71%
- U.S. Treasury Bills 2.02%
- U.S. Treasury Bills 1.28%
Asset Allocation
| Weighting | Return Low | Return High | QMHIX % Rank | |
|---|---|---|---|---|
| Cash | 98.91% | -687.11% | 117.03% | 98.94% |
| Other | 2.78% | 0.00% | 58.63% | 14.89% |
| Convertible Bonds | 0.00% | 0.00% | 2.27% | 43.62% |
| Bonds | 0.00% | -50.36% | 717.59% | 2.13% |
| Preferred Stocks | -0.79% | 0.00% | 0.13% | 31.91% |
| Stocks | -0.90% | -1.78% | 72.26% | 20.21% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | QMHIX % Rank | |
|---|---|---|---|---|
| Utilities | 0.00% | 0.00% | 4.63% | 73.44% |
| Technology | 0.00% | 0.00% | 45.08% | 29.69% |
| Real Estate | 0.00% | 0.27% | 99.97% | 59.38% |
| Industrials | 0.00% | 0.00% | 17.73% | 84.38% |
| Healthcare | 0.00% | 0.00% | 16.51% | 93.75% |
| Financial Services | 0.00% | 0.00% | 30.46% | 17.19% |
| Energy | 0.00% | 0.00% | 6.41% | 17.19% |
| Communication Services | 0.00% | 0.03% | 20.13% | 25.00% |
| Consumer Defense | 0.00% | 0.00% | 14.38% | 46.88% |
| Consumer Cyclical | 0.00% | 0.00% | 21.37% | 35.94% |
| Basic Materials | 0.00% | 0.00% | 12.01% | 51.56% |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | QMHIX % Rank | |
|---|---|---|---|---|
| US | 1.37% | -5.85% | 56.89% | 27.66% |
| Non US | -2.27% | 0.00% | 40.59% | 22.34% |
QMHIX - Expenses
Operational Fees
| QMHIX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 3.42% | 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 | 7.09% | 0.00% | 0.00% | 25.53% |
Dividend Distribution Analysis
| QMHIX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annual | Annually | Quarterly | Annually |
Net Income Ratio Analysis
| QMHIX | Category Low | Category High | QMHIX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -1.65% | -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 |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 18, 2023 | $0.593 | OrdinaryDividend |
| Dec 19, 2022 | $0.780 | OrdinaryDividend |
| Dec 23, 2021 | $0.668 | OrdinaryDividend |
| Dec 22, 2020 | $0.658 | OrdinaryDividend |
| Dec 23, 2019 | $0.319 | OrdinaryDividend |
| Dec 20, 2016 | $0.001 | OrdinaryDividend |
| Dec 21, 2015 | $0.088 | CapitalGainShortTerm |
| Dec 21, 2015 | $0.212 | CapitalGainLongTerm |
| Dec 21, 2015 | $0.511 | OrdinaryDividend |
| Dec 19, 2014 | $0.077 | CapitalGainShortTerm |
| Dec 19, 2014 | $0.185 | CapitalGainLongTerm |
| Dec 19, 2014 | $0.862 | OrdinaryDividend |
| Dec 20, 2013 | $0.013 | CapitalGainShortTerm |
QMHIX - Fund Manager Analysis
Managers
John Liew
Start Date
Tenure
Tenure Rank
Jul 16, 2013
8.88
8.9%
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
8.88
8.9%
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
8.88
8.9%
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.
Ashwin Thapar
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
Ashwin Thapar is a Principal and senior member of the Research and Portfolio Management team at AQR Capital Management. In his role, he co-heads research and portfolio management efforts on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Global Macro, Alternative Risk Premia and Multi-Strategy products. Ashwin has published research on topics including currency hedging, deep value and alternative risk premia investing and is a frequent conference presenter on these topics. Ashwin earned a B.Sc. in finance and a B.A. in mathematics from the University of Pennsylvania, graduating summa cum laude in both fields.
Erik Stamelos
Start Date
Tenure
Tenure Rank
Jan 01, 2022
0.41
0.4%
Jordan Brooks
Start Date
Tenure
Tenure Rank
Mar 01, 2022
0.25
0.3%
Jordan Brooks is a Principal at AQR Capital Management, where he is the Co-Head of the Macro Strategies Group. In this role, he oversees equity index, fixed income, currency, and risk parity research, and is a portfolio manager for the firm’s risk parity, global macro, and multi-strategy portfolios. Jordan is also a Lecturer in Management at Yale University and an Adjunct Professor of Finance at New York University. He has published numerous articles on fixed income, global macro, and the intersection of asset pricing and macroeconomics. Prior to joining AQR, Jordan was a teaching fellow in the economics department at New York University, and a dissertation intern in the division of monetary affairs at the Federal Reserve Board of Governors and in the capital markets group at the Federal Reserve Bank of New York. Jordan earned a B.A. in economics and mathematics from Boston College, and an M.A. and Ph.D., both in economics, from New York University.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.16 | 14.09 | 5.41 | 5.06 |
