Fact sheet: AQR MngdFtrUCTS

Fund information
Fund name
AQR Managed Futures UCITS H2
Fund manager company
FundRock Management Company S.
Fund type
Offshore Fund
Fund manager
No data available.
Fund objective
The fund seeks to efficiently execute an active trend-following strategy and realize a low correlation to traditional asset class returns over the medium-to-long term. It maintains attractive liquidity characteristics and achieve a long-term net Sharpe ratio of at least 0.5 over a full market cycle.
Benchmark
No data available.
Investment style
Managed Futures
Investment method
Mixed
Quick stats
1 Year return
-3.6%
1 Year rank in sector
79/124
Sector
FO Hedge/Stru Prod - Mixed
Yield
-
Fund size
£348m
Top in this sector
Fund name1 Year
LFIS VisionPremiaOpps19.4%
Garraway Garr FT16.8%
Castellain Value16.6%
Avia Altus14.6%
Nordea 1 Alpha 1512.7%
...more in FO Hedge/Stru Prod - Mixed

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-2%-5.9%-2.9%-3.6%--
Sector-0.1%-1.5%-0.5%-1.7%3.3%6.6%
Rank within sector107 / 120121 / 141109 / 13879 / 124--
Quartile4th4th4th3rd
Calendar performance
 YTD - 20162015201420132012
Fund-3.9%----
Sector-1.5%-0.6%5.1%1.4%1.9%
Rank within sector90 / 125----
Quartile3rd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
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Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
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Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
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Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
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R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
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Price movement
52 week high506.4
52 week low453.25
Current bid price-
Current offer price-
Current mid price454.4
Region
No data available.
Industry sector
No data available.
Asset type
1Fixed Interest196.93%
2Money Market6.31%
3International Equities3.97%
Individual holdings
1RUSSELL 2000 EMINI2.08%
2MSCI EMERG1.93%
3MSCI EAFE0.19%
Management
Fund manager group
RBS
Fund manager company
FundRock Management Company S.
Fund type
Offshore Fund
Fund objective
The fund seeks to efficiently execute an active trend-following strategy and realize a low correlation to traditional asset class returns over the medium-to-long term. It maintains attractive liquidity characteristics and achieve a long-term net Sharpe ratio of at least 0.5 over a full market cycle.
Benchmark
No data available.
Investment style
Managed Futures
Investment method
Mixed
Fund manager
No data available.
Compliance
Transparent for Austrian Tax, Reporting Fund Status, UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Austria, Germany, Denmark, Spain, Finland, France, United Kingdom, Iceland, Italy, Luxembourg, Netherlands, Norway, Offshore, Sweden
AQR Managed Futures UCITS A
Initial charge-
Annual charge0.6%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price99.32
CurrencyUSD
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXW
AQR Managed Futures UCITS B
Initial charge-
Annual charge0.6%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price97.85
CurrencyEUR
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXX
AQR Managed Futures UCITS C
Initial charge-
Annual charge0.6%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price92.23
CurrencyGBP
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXY
AQR Managed Futures UCITS D
Initial charge-
Annual charge0.6%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price90.22
CurrencyCHF
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeE0VM
AQR Managed Futures UCITS E EUR
Initial charge-
Annual charge0.5%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price92.58
CurrencyEUR
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFWAC
AQR Managed Futures UCITS F
Initial charge-
Annual charge0.5%
Min single investment£100,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price100.28
CurrencyGBP
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFVXZ
AQR Managed Futures UCITS G
Initial charge-
Annual charge0.5%
Min single investment£100,000,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price94.84
CurrencyUSD
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeE0VL
AQR Managed Futures UCITS H1
Initial charge-
Annual charge1%
Min single investment£100,000,000
Min regular saving£100,000,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price-
CurrencyNOK
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeE0VK
AQR Managed Futures UCITS H2
Initial charge-
Annual charge0.9%
Min single investment£1,000,000,000
Min regular saving£100,000,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price454.4
CurrencyNOK
Price updated06/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeE0VJ
AQR Managed Futures UCITS I
Initial charge-
Annual charge0.5%
Min single investment£70,000,000
Min regular saving£100,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price-
CurrencyGBP
Price updated01/01/1900
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeE0VI
AQR Managed Futures UCITS J
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price94.4
CurrencyEUR
Price updated06/12/2016
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeE7VP
AQR Managed Futures UCITS K
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price95.49
CurrencyGBP
Price updated06/12/2016
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeE7VO
AQR Managed Futures UCITS L
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price95.62
CurrencyUSD
Price updated06/12/2016
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeC0AY
Data provided by

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