AQR Managed Futures Strategy Fund Class I (AQMIX)

Overview

The company operates within the financial industry, primarily focusing on asset allocation across four major asset classes: commodities, currencies, fixed income, and equities. Its investment strategy involves gaining exposure to these asset classes through a diversified portfolio of futures contracts, futures-related instruments, forwards, and swaps. This includes a wide variety of financial instruments such as commodity futures, currency futures and forwards, equity index futures, equity swaps, volatility futures, bond futures and swaps, interest rate futures and swaps, and credit default index swaps. Despite its extensive involvement in various markets, the fund maintains a non-diversified status, concentrating its investments to capitalize on specific opportunities within these asset classes.

Products and Services

• Commodity Futures, Forwards, and Swaps

  Investments in commodity futures, forwards, and swaps enable the fund to gain exposure to physical goods such as oil, gold, and agricultural products. These instruments help in hedging against inflation and diversifying the investment portfolio.

• Currencies, Currency Futures and Forwards

  This category includes investments in different currencies and related financial instruments. By trading in currency futures and forwards, the fund seeks to benefit from fluctuations in exchange rates, which can contribute to potential gains from international financial markets.

• Equity Index Futures, Equity Swaps, and Volatility Futures

  Through equity index futures, equity swaps, and volatility futures, the fund invests in a broad market index or specific sectors, aiming to replicate the performance of the equity markets while possibly hedging against market volatility. This strategy can enhance returns in bullish markets and protect against downturns in bearish markets.

• Bond Futures and Swaps

  Investment in bond futures and swaps provides exposure to the fixed income market, allowing the fund to speculate on or hedge against interest rate movements. This can offer stable returns and is an essential part of a diversified investment strategy.

• Interest Rate Futures and Swaps

  With interest rate futures and swaps, the fund aims to profit from or hedge against changes in interest rates. This is particularly relevant in managing the risks related to fluctuating interest rates in the global financial market.

• Credit Default Index Swaps

  This involves investing in swaps that provide exposure to credit markets, allowing the fund to speculate on or hedge against credit events such as defaults. It’s a way to gain exposure to the creditworthiness of corporate or sovereign entities without directly holding the underlying bonds.