Liquid Alt Analysis: AQR’s Managed Futures Fund (AQMIX)

AQR’s managed futures offering has garnered quite a bit of assets in the Liquid Alt section of managed futures “40 Act” funds (aka mutual funds) over the past two years. Since the inception of AQR’s Managed Futures Strategy I ($AQMIX) in Jan ’10, they’ve gone from $0 to $6.6 Billion in assets as they’ve canvassed the country with wholesalers pitching famous quant Cliff Asness’ products. It doesn’t hurt, either, that Cliff is everywhere…  Connie Mack interviews, Investment News conferences, CNBC appearances, etc.)

One investment advisor we talked to invested in $AQMIX said he invested because he liked the story about Cliff Asness in “The Quants” punching his computer. That’s one way to pick investments… just don’t tell your clients.

Now, whenever we see popular liquid alts like this gaining steam (see 361 Capital’s here), we wonder just how well they stack up against real managed futures managers, you know, the one’s doing separately managed accounts and privately offered funds. High Net Worth Individuals can invest directly in such managers through folks like Attain, while advisors typically need to access through privately offered funds (CPO), as once it’s a fund, it becomes a security, making them licensed to sell it and it able to show up on the client’s statements.  PS – There’s a little group we know doing some good stuff in the privately offered fund space, see here.

But all this leads to the question of how do the Liquid Alts like the gorilla of a fund, AQMIX, stack up against the privately offered stuff.

We know there is a liquidity premium in private equity and some other hedge fund categories (to the benefit of the privately offered stuff), but does that hold in the world of exchange traded futures. What if there was a website (we’re working on it!) that listed the public options right alongside the ‘private’ – how would AQR’s Managed Futures Strategy I asset raising machine look alongside its sorta-peers on that side:

We went to work ‘adding’ the AQR managed futures mutual fund (AQMIX) into our database as if they were a privately offered option, and then seeing how their performance stacks up against the top tier performers in the privately offered space.  Bear in mind our database doesn’t include all possible programs in the managed futures universe, we pare down the publicly available lists to get rid of programs which aren’t investable, offshore funds, and others which aren’t valid business concerns; so our database may have a bit of a skew towards better managers.

So… they raise money like a top quartile fund, but are they performing like one?  Here’s what we found:

(Disclaimer: past performance is not necessarily indicative of future results. Programs that make up “Top Decile Average” consist of those with at least a 3 year track record tracked by Attain Capital Management for investment by clients via managed accounts and do not represent all available programs in the managed futures universe. Performance as of 10/31/2014)

Fixed AQR numbersAQR is two months shy of 5 years of performance, and the 5 year ratios reflect numbers since inception (58 months).

We found they are definitely in the top decile in terms of assets, where they would be the 3rd largest privately offered managed futures program, behind Winton and Man AHL.  But they lag the top decile of performers in most metrics by quite a bit… which begs the question… why are you doing Liquid Alts in the first place? If it’s because you only have $5,000 to invest into managed futures – we agree, you shouldn’t be trying to do a managed accounts and commodity pools. But if you have a few extra zeroes at the end of your alternatives allocation (say $50,000 to $500,000), basing your allocation choice on ease of use and access (no K1, daily liquidity, etc.) might be a case of stepping over dollars to pick up pennies.

Maybe it isn’t fair to compare AQMIX to the best performers in every category, but with large assets comes large expectations….

3 comments

  1. I think comparing major programs to the AQR MF HV version (QMHNX) would make for a more appropriate comparison in terms of vol targets. Obviously the track record for the higher octane version of the fund is somewhat shorter, still a valid option if your 401k or IRA don’t allow for MAs or CPOs.

  2. Thank you for information about AQMIX and your comparison of its performance to mgd futures programs. I especially enjoy learning about “developments” in the mgd futures industry as well as the way the public and some pros perceive them. I suspect that for many, including pros, mgd futures are so amazingly different from securities investments that they can’t get very close at all to understanding them. That must be a reason why the propaganda against commodities/futures has endured so persistently. (I’m not condemning the propaganda; it provides the availability of superb, high performance AND low risk programs to be there to invest in, instead of immediately being scooped up by institutions.)

    Thanks again, Attain. You help to direct toward the light.

  3. Thanks for the quick analysis. I agree with Colin, in that the fund’s vol really needs to be taken into account with the comparison. Although I asked Fidelity about investing in the HV version of AQR, and they insisted on a $1m minimum – might as well go private if I had that kind of $$.

    The Sortino *somewhat* shows the effect of risk-adjusted returns, such that it becomes plain that AQR’s ability to raise assets is not based on past performance. But I wonder what the performance looks like versus the median program in your DB – I have a hunch a flat performance in the past 5 years probably isn’t *that* far from median.

    Definitely a fan of the new mutual funds coming out – there are a lot of folks with <$1m AUM (i.e. not Accredited Investors) who could benefit from a $25,000-$50,000 investment in managed futures.

    https://financialpiggy.wordpress.com/2014/09/26/latest-addition-to-the-portfolio-managed-futures-mutual-fund/

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Disclaimer
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.

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.

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 receives 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.

See the full terms of use and risk disclaimer here.

Disclaimer
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.

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.

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 receives 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.

See the full terms of use and risk disclaimer here.