AQR Emerging Defensive Equity (AZENX), AQR International Defensive Equity (ANDNX), AQR US Defensive Equity (AUENX), AQR Risk-Balanced Commodities (ARCNX) and AQR Risk Balanced Commodities Low Volatility (AQVNX).
AQVNX does not seem available yet, but the other 4 do. Risk-Balanced Commodities is actively managed.
Plus, article:
http://www.investmentnews.com/article/20120709/FREE/120709960Also, the commodities fund can short. ("The fund invests in a portfolio of commodity futures contracts. The fund’s strategy is based on balancing risks across commodity sectors, managing risk over time through volatility targeting and drawdown control, and active management based on commodity fundamentals and trends. The fund can go long or short individual commodity contracts, but will always be net long commodities as a whole. "
https://www.aqrfunds.com/OurFunds/AlternativeInvestmentFunds/RiskBalancedCommoditiesStrategyFund/Overview.aspx)
Edited to add: Risk Balanced LV Commodity is not on the AQR website (but the others are) as of today, so that one appears to be delayed.
Comments
Kevin
Thanks for checking the availability. I will watch these funds for a while as I see no benefit in being an early buyer.
Thanks in advance,
BWG
So, LV will be a more hedged and/or less aggressively positioned, etc (?) version of the other fund. LV appears to have been delayed, but Risk Balanced Commodity is available. LV was also not listed in the press release on the new funds that was released by AQR.
This appears same with both:
"Commodity Investments
The Fund intends to gain exposure to commodity sectors by investing in a portfolio of Instruments (as defined below). The Fund will generally have some level of investment in the majority of commodity sectors, which includes over 20 exposures. The Adviser targets balanced-risk weights across various commodity sectors and regularly reviews the risk in those sectors as market conditions change, rebalancing the portfolio to seek to maintain more balanced exposures among sectors. The Fund’s balanced-risk approach can be expected, under current market conditions, to result in less exposure to the energy sector than an approach that mirrors the composition of well-known commodity indices.
In allocating assets among and within commodity sectors, the Adviser follows a “risk parity” approach. The “risk parity” approach to asset allocation seeks to balance the allocation of risk across the commodity sectors (as measured by forecasted volatility, estimated potential loss, and other proprietary measures) when building the portfolio. This means that lower risk commodity sectors (such as precious metals) will generally have higher notional allocations than higher risk commodity sectors (such as energy). A “neutral” asset allocation targets an equal risk allocation among the commodity sectors. The Adviser expects to tactically vary the Fund’s allocation to the various commodity sectors depending on market conditions, which can cause the Fund to deviate from a “neutral” position. The desired overall risk level of the Fund may be increased or decreased by the Adviser. There can be no assurance that employing a “risk parity” approach will achieve any particular level or return or will, in fact, reduce volatility or potential loss.
However, the Fund is actively managed and has the flexibility to over- or underweight commodity sectors, in the Adviser’s discretion, in order to achieve the Fund’s objective. There is no stated limit on the percentage of assets the Fund can invest in a particular Instrument or the percentage of assets the Fund will allocate to any one commodity sector, and at times the Fund may focus on a small number of Instruments or commodity sectors. The Adviser will use proprietary volatility forecasting and portfolio construction methodologies to manage the Fund. The allocation among and within the different commodity sectors is based on the Adviser’s assessment of the risk associated with the commodity sector, the investment opportunity presented by each commodity sector, as well as the Adviser’s assessment of prevailing market conditions within the particular commodity sector. Shifts in allocations among and within commodity sectors or Instruments will be determined based on the Adviser’s evaluation of technical and fundamental indicators, such as trends in historical prices, seasonality, supply/demand data, momentum and macroeconomic data of commodity consuming countries.
Generally, the Fund gains exposure to the commodity sectors by investing in commodity-linked derivative instruments, such as swap agreements, commodity futures, commodity-based exchange-traded funds, commodity-linked notes and swaps on commodity futures (collectively, the “Instruments”), either by investing directly in those Instruments, or indirectly by investing in the Subsidiary (as described below) that invests in those Instruments. The Fund’s investment in the Instruments provides the Fund with exposure to the investment returns of the commodity sectors without investing directly in physical commodities. Commodities are assets that have tangible properties, such as oil, metals and agricultural products. There is no maximum or minimum exposure to any one Instrument or any one commodity sector.
Futures contracts are contractual agreements to buy or sell a particular commodity or Instrument at a pre-determined price in the future. The Fund’s use of futures contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of commodities underlying an Instrument and results in increased volatility, which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund does not use Instruments that have a leveraging effect. Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the Fund’s exposure to a particular commodity or commodity sector and may cause the Fund’s NAV to be volatile. There is no assurance that the Fund’s use of Instruments providing enhanced exposure will enable the Fund to achieve its investment objective.
As a result of the Fund’s strategy, the Fund may have highly leveraged exposure to one or more commodity sectors at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the Fund’s ability to use leverage; however, the Fund is not subject to any additional limitations on its exposures.
The Fund and the Subsidiary use a drawdown control approach to mitigate loss of value and reduce volatility. This approach gradually and systematically reduces exposure across all commodity sectors as commodity markets decline and volatility increases. There can be no assurance that this approach will be successful in controlling the Fund’s risk or limiting portfolio losses.
The Fund currently intends to invest up to 25% of its total assets in the Subsidiary. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company."
Summary:
https://www.aqrfunds.com/OurFunds/AlternativeInvestmentFunds/RiskBalancedCommoditiesStrategyFund/Overview.aspx
Risk Balancing Across Sectors: In a risk-balanced portfolio, every sector contributes roughly equally to the volatility of the total portfolio and no one commodity dominates near-term returns. To achieve this, less volatile sectors are given larger notional allocations, while volatile sectors get a smaller notional allocation.
Risk Balancing Through Time: Over time, the volatility of a commodities portfolio can vary significantly. During stress periods when the volatility across commodities increases sharply, such as 2008, the riskiness of a commodities portfolio may become higher than desirable. By monitoring volatilities and correlations of each commodity, it is possible to increase or decrease portfolio-wide exposures in order to target a pre-specified risk level for the fund and keep returns smoother over time.
Drawdown Control: We believe volatility targeting should be supplemented by a systematic, pre-set drawdown control policy, dictating how portfolio risk will be reduced during a prolonged crisis to help control the size of absolute drawdowns. As soon as markets stabilize, the drawdown policy ensures that the fund returns to being fully invested. We believe that this improves investors’ odds of sticking with a long-term allocation.
Active Management: The fund is actively managed, and the fund managers will vary the fund’s positions in individual commodities and commodity sectors (even going short in some commodities at time) based on an evaluation of the attractiveness of the positions. These shifts in allocations will be determined using AQR’s proprietary models. Information that is evaluated includes the roll yield, inventory, and supply and demand relationships of each commodity, as well as the macroeconomic environment and other factors.