AQR Managed Futures Strategy HV Fund I
Executive Summary
AQR MANAGED FUTURES STRATEGY HV FUND I (QMHIX) delivers an active long/short Managed Futures strategy in a mutual fund vehicle and is similar to AQR Managed Futures Strategy MV, but with 50% more leverage.
AQR has developed a thorough understanding of trend-following and momentum strategies from managing numerous hedge fund strategies which utilize time-series trend following signals for over 15 years (and studying and analyzing trend-following strategies for two decades). In the design of the Managed Futures Fund, we have developed multiple signals that target each stage of a trend's lifecycle. We believe the application of a robust and systematic approach to trend-following, diversified across multiple asset classes and markets, implemented with a focus on transaction costs and incorporating disciplined risk management will lead to attractive long-term results.
Investment Process: Our investment approach is to take economically intuitive and rigorously tested factors and implement them in a systematic and highly risk-controlled manner.
For the Managed Futures Fund, we use proprietary quantitative models to identify different measures of trend over various horizons as well as over-extended trends. Our position sizing methodology is a function of : 1) the strength of the trend determined by econometric evaluation of combining the above mentioned groups of signals (more agreement across signals leads to larger positions and vice-versa),
2) our volatility estimates of each market as a function of its historical and implied volatilities; and 3) a collection of risk management methods which aim to reduce portfolio concentration and excessive risk taking.
From these criteria, we will enter into a long or short position based upon the aggregate view of the combination of signals. We then size the view depending on the model's view of probability of persistence of the identified trend as well as our forecast of volatility of the instrument.
The primary driver of most managed futures strategies is trend-following or momentum investing; that is, buying assets that are rising and selling assets that are declining. Trends are pervasive across all markets and we believe the phenomena can be explained economically by looking at 3 stages of the lifecycle of a trend: an initial under-reaction to a shift in fundamental value, potentially allowing a managed futures strategy to invest before the information is fully reflected in prices. The trend then over extends due to herding effects, and this finally results in a reversal.
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Disclaimer Info
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
RCM may receive a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.
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The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
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