The fund will invest in commodities, equity indexes, currencies and government bonds through exchange-traded futures contracts. The fund expects its volatility to range between fixed income and equity markets.
“Managed futures have long been employed as a portfolio diversification strategy by hedge funds and commodity trading advisors, and their performance has been the subject of extensive academic research and tracking since the early 1990s,” said David G. Kabillar, founding partner and head of client strategies at AQR.
“Given the strategy’s close to zero correlation to other asset classes historically, it can provide significant diversification not only to hedge fund and other alternative-based portfolios but also to more traditional stock and bond portfolios, particularly when most desired, such as during a bear market,” Kabillar said.