Address And Details

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

Strategy And Objective

The AQR Risk-Balanced Commodities Strategy Fund (the Fund ) seeks total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among various commodity sectors (including agricultural, energy, livestock, softs (e.g., non-grain agricultural products such as coffee, sugar, cocoa, etc.) and precious and base metals). The Fund also invests in fixed income securities and money market instruments. The Fund will obtain exposure to commodity sectors by investing in commodity-linked derivatives, directly or through its investment in the Subsidiary. There is no guarantee that the Fund s investment objective will be met. The Fund intends to gain exposure to commodity sectors by investing in a portfolio of Instruments (as defined below). The Fund will generally have some level of investment in the majority of commodity sectors, which includes over 20 exposures. The Adviser targets balanced-risk weights across various commodity sectors and regularly reviews the risk in those sectors as market conditions change, rebalancing the portfolio to seek to maintain more balanced exposures among sectors. The Fund s balanced-risk approach can generally be expected to result in less relative risk exposure to the energy sector than an approach that mirrors the composition of well-known commodity indices. In allocating assets among commodity sectors, the Adviser follows a risk balanced approach. The risk balanced approach to asset allocation seeks to balance the allocation of risk (as measured by forecasted volatility) across the commodity sectors over time. Under the risk balanced approach, lower risk commodity sectors (such as precious metals) will generally have higher notional allocations than higher risk commodity sectors (such as energy). However, less risk is allocated to certain commodity sectors with lower liquidity (namely, livestock and softs), meaning that risk will not be allocated completely equally among the sectors. The Adviser also tactically varies the Fund s allocation to the various commodity sectors depending on market conditions and through the use of various quantitative signals based upon the Adviser s research. In choosing the overall exposure for the Fund, the Adviser follows a risk targeting approach. The risk targeting approach attempts to target a specific level of risk (as measured by forecasted volatility), which is expected to vary around a long-term risk target, typically ranging between an annualized volatility level of 10% and 22%. 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. Higher volatility generally indicates higher risk. The targeted risk at any given point in time can vary based on a number of factors, including the Adviser s systematic tactical views. The desired overall risk level of the Fund may be increased or decreased by the Adviser, subject to the Adviser s risk controls which may result in the Adviser s targeted risk level not being achieved in certain circumstances. There can be no assurance that employing a risk balanced or risk targeted approach will achieve any particular level of return or will, in fact, reduce volatility or potential loss. The actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Actual or realized volatility can and will differ from the forecasted or target volatility described above. The Fund is actively managed and has the flexibility to over- or underweight commodity sectors, in the Adviser s discretion, in order to achieve the Fund s objective. There is no stated limit on the percentage of assets the Fund can invest in a particular Instrument or the percentage of assets the Fund will allocate to any one commodity sector, and at times the Fund may focus on a small number of Instruments or commodity sectors. The Adviser will use proprietary volatility forecasting and portfolio construction methodologies to manage the Fund. The allocation among and within the different commodity sectors is based on the Adviser s assessment of the risk associated with the commodity sector, the investment opportunity presented by each commodity sector, as well as the Adviser s assessment of prevailing market conditions within the particular commodity sector. Shifts in allocations among and within commodity sectors or Instruments will be determined in accordance with various quantitative signals based upon the Adviser s research, that rely on the evaluation of technical and fundamental indicators, such as trends in historical prices, spreads between futures prices of differing expiration dates, supply/demand data, momentum and macroeconomic data of commodity consuming countries. Generally, the Fund gains exposure to the commodity sectors by investing in commodity-linked derivative instruments, such as swap agreements, commodity futures, commodity forwards, commodity-based exchange-traded funds and swaps on commodity futures (collectively, the Instruments ), either by investing directly in those Instruments, or indirectly by investing in the Subsidiary (as described below) that invests in the Instruments. The Fund may invest in Instruments listed on U.S. or non-U.S. exchanges, some of which could be denominated in currencies other than the U.S. dollar. Although the Fund is not required to hedge against changes in currency values, the Fund expects to hedge its non-U.S. currency exposure. The Fund s investment in the Instruments provides the Fund with exposure to the investment returns of the commodity sectors without investing directly in physical commodities. Commodities are assets that have tangible properties, such as oil, metals and agricultural products. Futures contracts are contractual agreements to buy or sell a particular commodity or Instrument at a pre-determined price in the future. The Fund s use of futures contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of commodities 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. 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 commodity sectors at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the Fund s ability to use leverage.

Net Asset Value

as of 6:16 PM ET 10/21/2021


  • 1 Week
  • -0.22%
  • 1 Month
  • +8.24%
  • 3 Months
  • +6.86%
  • 1 Yr Return
  • +57.63%
  • 5 Yr Return
  • +43.15%

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 29.84 M

Risk Measures

Criteria 3 Years 5 Years 10 Years
Alpha 4.34 -1.71 n/a
Beta 0.66 0.63 n/a
R Squared 0.43 0.32 n/a
Std Deviation 19.16 16.88 n/a
Sharpe Ratio 0.82 0.50 n/a

Purchase Information

as of 6:15 PM ET 10/20/2021
Minimum Initial $1000000
Minimum Additional $0
Minimum Initial IRA $0


Timeframe Average Annual Current Performance Monthly As Of 09/30/2021 Average Annual Current Performance Quarterly As Of 09/30/2021 Avg Annual Current Performance Monthly As Of 09/30/2021 Avg Annual Current Performance Quarterly As Of 09/30/2021
1 Year
  • +55.51%
  • +55.51%
+55.51% +55.51%
3 Year
  • +14.77%
  • +14.77%
+14.77% +14.77%
10 Year
  • n/a
  • n/a
n/a n/a
Life Of Fund
  • -0.43%
  • -0.43%
-0.43% -0.43%

Top 10 Holdings

Symbol Company Name % Of Assets

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