“Managed futures” strategy
The AQR Managed Futures Strategy Fund STR I (AQMIX) uses the modern alternative hedge fund strategy “Managed Futures” for investment purposes. Its top holdings include long futures contracts on major global equity indexes like the FTSE China A50 Index Futures, the Nikkei 225 Index Future, the KOSPI 200 Index Future, and the Hang Seng Index Future.
The Hang Seng Index Future has top performing holdings like Tencent (TCEHY), CNOOC (CEO), PetroChina (PTR), and HSBC Holdings (HSBC). The fund’s portfolio is also composed of futures contracts of other asset classes like Brent Oil Future, Australia 10 Year Bond Future, and AUD versus USD forward contracts.
AQMIX’s NAV movement in the broader market
The above graph compares AQMIX’s market NAV (net asset value) movement with the broader US S&P 500 market (SPY). Unlike AQMIX, SPY is composed of equity securities mainly issued in the US. AQMIX and SPY demonstrate an inverse relationship between their price movements. This is mainly due to the fact that a managed future strategy is affected by the various ups and downs in the market. They’re correctly hedged against them with multiple long and short positions. As a result, investors opt towards managed future funds for diversifying their portfolio to reduce the portfolio’s overall risk.
In the next part of the series, we’ll analyze AQMIX’s performance compared to its benchmark.