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QMHIX

AQR Managed Futures Strategy HV-I

Category:

Trend Following

Benchmark:

MSCI ACWI DivAdj Idx (A-CWI)

AUM:

274.236

TTM Yield:

7.29%

Expense Ratio:

3.23%

Navigating the Complex World of Managed Futures

The AQR Managed Futures Strategy HV-I stands out in the mutual fund landscape with its distinctive focus on managed futures and equity swaps. Unlike traditional equity or bond funds, this fund seeks to provide positive absolute returns by investing primarily in a portfolio of futures contracts and futures-related instruments. This strategic focus allows the fund to capitalize on market trends, both upward and downward, making it a versatile tool for investors looking to diversify their portfolios. The fund’s management targets an annualized volatility level of 15%, which is relatively high, indicating a willingness to embrace risk in pursuit of higher returns. This approach is particularly appealing to investors who are comfortable with volatility and are seeking opportunities beyond conventional asset classes. The fund’s unique strategy and focus on growth and income make it a compelling choice for those looking to navigate the complex world of managed futures.

At A Glance

Executive Summary

AQR Managed Futures Strategy HV-I targets positive returns with high volatility, focusing on futures and swaps. High expense ratio and unique strategy.

– High yield of 7.29% appealing for income-focused investors. – Unique strategy focusing on futures contracts and equity swaps. – Potential for positive absolute returns in volatile markets.

– High expense ratio of 3.23% may deter cost-conscious investors. – Volatile returns with a max drawdown of -19.1%. – Negative alpha and Sharpe ratio indicate underperformance against the benchmark.

Performance in the Face of Market Challenges

The AQR Managed Futures Strategy HV-I has demonstrated a mixed performance over various time frames, reflecting its complex strategy and market conditions. Over the past three years, the fund has achieved an impressive annualized return of 15.39%, showcasing its potential to capitalize on market trends. However, its one-year return of -0.06% indicates challenges in recent market conditions, possibly due to its high volatility and the nature of its investments. Compared to its benchmark, the MSCI ACWI DivAdj Idx, which posted a 31.95% return over the same period, the fund has underperformed, highlighting the inherent risks and volatility associated with its strategy. Despite these challenges, the fund’s long-term performance, with a ten-year return of 2.91%, suggests resilience and the ability to recover from downturns. The standout performance periods are often linked to times of significant market volatility, where the fund’s strategy can truly shine.

Understanding the Risk Dynamics

The risk profile of the AQR Managed Futures Strategy HV-I is characterized by several key metrics that highlight its unique approach to risk management. With a beta of 0.35, the fund exhibits lower sensitivity to market movements compared to its benchmark, suggesting a degree of insulation from broader market volatility. However, the fund’s negative alpha of -32.05% and Sharpe ratio of -2.16 indicate that it has not effectively compensated investors for the risks taken, underperforming relative to the risk-free rate. The fund’s standard deviation of 4.28% reflects its volatility, while the Treynor ratio of -90.99 further underscores the challenges in achieving risk-adjusted returns. Despite these metrics, the fund’s strategy of targeting an annualized volatility level of 15% suggests a deliberate embrace of risk, aiming to capture significant returns during periods of market dislocation. Investors should be prepared for potential drawdowns, as evidenced by the fund’s max drawdown of -19.1%, but also recognize the potential for upside in volatile markets.

Strategic Portfolio Composition and Holdings

The AQR Managed Futures Strategy HV-I’s portfolio composition is a testament to its strategic focus on futures and derivatives. The fund’s top holdings include a significant allocation to Limited Purpose Cash Investment and various IRSIM EURI/2.5 EUR1226 Pay instruments, each comprising over 25% of the portfolio. This heavy concentration in futures-related instruments reflects the fund’s commitment to its managed futures strategy. Additionally, the fund’s allocation to Ois Sonia /3.5% Gbp1226 and Ubs Relationship Fds further diversifies its exposure across different instruments and currencies. Notably, the fund has no exposure to traditional equity sectors such as technology or healthcare, emphasizing its unique approach. The bond sector allocation reveals a dominant presence of government securities at 69.92%, complemented by derivatives at 27.44%, underscoring the fund’s focus on non-traditional asset classes. This strategic allocation signals the fund’s intent to leverage market trends and volatility to achieve its investment objectives.

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b3cgQiJ9LHsibmV0d2VpZ2h0IjoiMCUiLCJuYW1lIjoiTm90IFJhdGVkIn1dfSwibWFya2V0Y2FwIjp7ImRhdGUiOiIyMDI0LTA5LTMwIiwiZGF0YWxpc3QiOltdfX0=

Yield and Income Strategy in Focus

The AQR Managed Futures Strategy HV-I offers a yield of 7.29%, positioning it as an attractive option for income-focused investors. This yield is notably higher than many traditional mutual funds, reflecting the fund’s strategy of capitalizing on futures contracts and derivatives to generate income. The fund’s income strategy is designed to provide a steady stream of returns, appealing to investors seeking both growth and income. Compared to similar funds, such as the AQR Managed Futures Strategy-I (AQMIX) with a yield of 8.05%, QMHIX offers competitive income potential. However, investors should be aware of the fund’s high volatility and expense ratio, which may impact net returns. The fund’s ability to deliver consistent income in various market conditions makes it suitable for those looking to diversify their income sources while maintaining exposure to non-traditional asset classes.

Evaluating the Cost of Investment

The expense ratio of the AQR Managed Futures Strategy HV-I stands at 3.23%, which is significantly higher than the average for mutual funds. This high expense ratio reflects the fund’s complex strategy and the costs associated with managing a portfolio of futures contracts and derivatives. While the fund’s unique approach may justify the higher fees for some investors, cost-conscious individuals may find this a deterrent. The impact of these expenses on net returns is substantial, potentially eroding the fund’s performance over time. When compared to similar funds, such as the Guggenheim Managed Futures Strategy-Inst (RYIFX) with an expense ratio of 0.0149%, QMHIX appears less cost-effective. Investors should carefully consider whether the potential benefits of the fund’s strategy outweigh the costs, particularly in light of its mixed performance and high volatility. For those willing to pay a premium for exposure to managed futures, the fund offers a distinctive investment opportunity.

Standing Out in a Competitive Landscape

In the competitive landscape of managed futures funds, the AQR Managed Futures Strategy HV-I distinguishes itself through its unique strategy and high yield. Compared to similar funds like the Catalyst Systematic Alpha-I (ATRFX) and Alternative Strategies-I (LTIFX), QMHIX offers a higher yield of 7.29%, appealing to income-focused investors. However, its high expense ratio and volatile returns may limit its appeal to a broader audience. The fund’s focus on futures contracts and derivatives sets it apart from more traditional equity or bond funds, providing diversification benefits for investors seeking exposure to non-traditional asset classes. While its performance has been mixed, the fund’s ability to capitalize on market trends during periods of volatility remains a key differentiator. Investors should weigh the fund’s unique advantages against its limitations, considering their own risk tolerance and investment objectives when evaluating its place within their portfolio.

Future Outlook

The fund’s future performance may benefit from volatile market conditions, where its strategy of investing in futures contracts could provide positive returns. It is advantageous for investors seeking diversification and exposure to non-traditional asset classes.

Is This Fund Right for You?

The AQR Managed Futures Strategy HV-I is best suited for investors with a high risk tolerance and a desire for exposure to non-traditional asset classes. Its focus on managed futures and derivatives offers diversification benefits, making it an attractive option for those looking to complement their existing portfolio with a unique strategy. The fund’s high yield of 7.29% appeals to income-focused investors, while its potential for positive absolute returns in volatile markets may attract growth-oriented individuals. However, the fund’s high expense ratio and volatile performance require careful consideration. Ideal investors are those who are comfortable with the fund’s risk profile and are seeking opportunities beyond conventional equity and bond markets. Long-term investors who can withstand short-term fluctuations may find the fund’s strategy aligns with their investment goals, offering a distinctive approach to achieving growth and income.

Current Market Context and Implications

The current market environment presents both challenges and opportunities for the AQR Managed Futures Strategy HV-I. With interest rates fluctuating and economic uncertainty persisting, the fund’s focus on futures contracts and derivatives could provide a hedge against traditional market risks. The fund’s strategy may benefit from increased market volatility, as it seeks to capitalize on trends across various asset classes. However, investors should be mindful of potential tax implications associated with the fund’s complex investments, which may impact after-tax returns. As sectors like technology and healthcare continue to evolve, the fund’s lack of exposure to these areas highlights its unique approach, focusing instead on government securities and derivatives. This strategy may appeal to investors seeking diversification and alternative sources of income in a dynamic market landscape.

Similar Securities

AQR Managed Futures Strategy-I – AQMIX

PIMCO TRENDS Managed Futures Strtgy-A – PQTAX

AQR Managed Futures Strategy HV-I – QMHIX

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