AQR Managed Futures Strategy Fund Class N (AQMNX)

Overview

The company operates as a financial adviser with a focused approach on asset allocation, spreading investments across four principal asset classes: commodities, currencies, fixed income, and equities. This diversification strategy aims to optimize returns and manage risks by engaging in various futures contracts, futures-related instruments, forwards, and swaps. The breadth of the company's investment instruments includes, but is not limited to, commodity futures and swaps, currency futures and forwards, equity index futures and equity swaps, volatility futures, bond futures and swaps, as well as interest rate futures and swaps, and credit default index swaps. Despite its wide-ranging investment instruments, the fund remains non-diversified, placing concentrated bets in these four major asset classes.

Products and Services

• Commodity Futures, Forwards and Swaps

These financial instruments allow the company to gain exposure to the commodities market, enabling it to invest in physical goods such as agricultural products, metals, and energy. These instruments cater to investors looking to hedge against inflation or speculate on commodity prices.

• Currencies, Currency Futures and Forwards

This category includes investments and speculations on the movements of the currency exchange rates. By using currency futures and forwards, the company can hedge against currency risk or take positions based on expected movements in currency exchange rates.

• Equity Index Futures, Equity Swaps, and Volatility Futures

These instruments enable the company to gain exposure to equity markets without directly investing in stocks. Equity index futures can be used for hedging against market downturns or speculating on future market movements. Equity swaps allow for exposure to stock or an equity index, while volatility futures provide a way to speculate on or hedge against market volatility.

• Bond Futures and Swaps

Investing in bond futures and swaps enables the company to speculate on or hedge against interest rate movements, thus offering a way to gain exposure to the fixed income markets. These instruments are vital for managing interest rate risk or taking speculative positions on the direction of interest rates.

• Interest Rate Futures and Swaps

These are financial contracts that derive their value from the underlying interest rates. The company uses these instruments to hedge interest rate exposure or speculate on the future direction of interest rates, contributing to the fixed income element of its asset allocation strategy.

• Credit Default Index Swaps

A financial derivative allowing the company to manage or assume credit risk. These swaps are used to speculate on or hedge against the credit risk of a basket of issuers, providing a mechanism to diversify or concentrate credit exposure without owning the actual credit instruments.