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Address And Details

PO Box 2248 , Denver, CO 80201-2248
Fund Manager Team Managed
Manager Tenure

Strategy And Objective

The AQR Managed Futures Strategy Fund (the Fund ) seeks positive absolute returns. As further described under Details About the AQR Managed Futures Strategy Fund in the Fund s prospectus, a positive absolute return seeks to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction. The Fund pursues its investment objective by allocating assets among four major asset classes (commodities, currencies, equities and fixed income). Generally, the Fund 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 (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 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 and its likelihood of continuing as well as the Adviser s estimate of the Instrument s risk. The owner of a long position in a derivative instrument will benefit from an increase in the price of the underlying instrument. The owner of a short position in a derivative instrument will benefit 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. 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, to meet redemption requests or to meet asset segregation requirements 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. The Adviser, on average, will target an annualized volatility level for the Fund of 10%. 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 Adviser expects that the Fund s targeted annualized forecasted volatility will typically range between 5% and 13%; however, 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. 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 three to four 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 and Investment Techniques-Segregation of Assets sections 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). A significant portion of the assets of the Fund may be invested directly or indirectly in money market instruments, which may include, but are not be limited to, U.S. Government securities, U.S. Government agency securities, short-term fixed income securities, overnight and/or fixed term repurchase agreements, money market fund shares, short-term bond fund shares, interests in short-term investment funds and cash and cash equivalents with one year or less term to maturity. These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund. 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 futures, forwards and swaps, but it may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiary s derivative positions. 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 Subsidiary will comply with the same 1940 Act asset coverage requirements with respect to its investments in commodity-linked derivatives that are applicable to the Fund s transactions 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.

Net Asset Value

as of 6:36 PM ET 12/06/2021


  • 1 Week
  • -2.77%
  • 1 Month
  • -5.40%
  • 3 Months
  • +1.05%
  • 1 Yr Return
  • -3.63%
  • 5 Yr Return
  • -17.27%

Equity Sector Breakdown

ConsumerDurables n/a
Energy n/a
Finance n/a
Health n/a
IndustrialCyclical n/a
NonDurables n/a
RetailTrade n/a
Services n/a
Technology n/a
Utilities n/a

Asset Allocation

Asset Type % Of Allocation
Stocks 100.00%
Cash 0.00%
Bonds 0.00%
Preferred 0.00%
Convertible 0.00%
Other 0.00%
ForeignStocks 0.00%
ForeignBonds 0.00%
ForeignHedged 0.00%
Total Net Assets 1.17 B

Risk Measures

Criteria 3 Years 5 Years 10 Years
Alpha 2.33 -2.15 2.18
Beta -0.11 -0.03 -0.08
R Squared 0.05 0.00 0.01
Std Deviation 8.93 8.58 9.02
Sharpe Ratio 0.00 -0.30 n/a

Purchase Information

as of 6:14 PM ET 12/03/2021
Minimum Initial $5000000
Minimum Additional $0
Minimum Initial IRA $0


Timeframe Average Annual Current Performance Monthly As Of 11/30/2021 Average Annual Current Performance Quarterly As Of 09/30/2021 Avg Annual Current Performance Monthly As Of 11/30/2021 Avg Annual Current Performance Quarterly As Of 09/30/2021
1 Year
  • +1.74%
  • +1.79%
+1.74% +1.79%
3 Year
  • -0.02%
  • -1.56%
-0.02% -1.56%
10 Year
  • +0.50%
  • +0.30%
+0.50% +0.30%
Life Of Fund
  • +0.22%
  • +0.36%
+0.22% +0.36%

Top 10 Holdings

Symbol Company Name % Of Assets


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