AQR Managed Futures UCITS Fund

Investment Objective

The Fund seeks to produce attractive risk-adjusted returns while realizing low-to-zero long-term average correlation to traditional markets over the long-term.

Latest Meeting Note

Meeting 02 May 2024

The AQR Managed Futures UCITS fund trades over 125 liquid futures and forwards contracts across global equities, fixed income, currencies, and commodities. What distinguishes AQR’s approach to Managed Futures investing is an emphasis on ...

The AQR Managed Futures UCITS fund trades over 125 liquid futures and forwards contracts across global equities, fixed income, currencies, and commodities. What distinguishes AQR’s approach to Managed Futures investing is an emphasis on diversification across several themes. Firstly, based on signal types, the strategy combines short-term and long-term price trend. Furthermore, the fund has expanded the type of signal it utilises from January 2022. Whilst a trend-following focus can help maximize diversification benefits to investor portfolios, the team look to use non-price trend signals as well, including the use of trends in economic data as a complement to price-based trend signals. Further, outside of typical markets, the strategy also trades a range of alternative markets which provides exposure to a diverse set of harder-to-access, lower-capacity markets. At the position level trades are sized based on short-term volatility forecasts, with signals programmed to react quickly to changing market volatilities.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.3 0.7 0.5 0.0 0.2 0.2 0.8 0.1 0.8 0.3 0.4 1.0 0.1
2022 0.9 0.9 0.4 0.3 0.9 0.7 0.1 0.7 0.8 0.1 0.5 0.0 0.2

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