Howdy, Stranger!

It looks like you're new here. If you want to get involved, click one of these buttons!

In this Discussion

Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.

    Support MFO

  • Donate through PayPal

Factoids Re: AQR Risk-Balanced Commodity Fund

edited September 2012 in Fund Discussions
https://www.aqrfunds.com/Portals/0/FundDocuments/Basic Information/Fact Sheet/COMMF.I.pdf

Comparison to PCRRX since AQR fund debut:
http://finance.yahoo.com/echarts?s=PCRRX+Interactive#symbol=pcrrx;range=20120709,20120907;compare=arcnx;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;

Of particular interest:
Beta of Fund to DJ-UBS 0.8
Beta of Fund to S&P GSCI 0.5
Current Fund Target Volatility 16 %

Also of interest:
% of Risk Allocation
WTI Crude 1.6 %
Brent Crude 5.8 %
Heating Oil 4.3 %
RBOB Gasoline 2.4 %
Gas Oil 2.3 %
Natural Gas 1.7 %
Total Energies Risk 18.0 %
% of Risk Allocation
Copper 15.6 %
Aluminum 1.5 %
Nickel 1.5 %
Zinc 0.6 %
Lead 0.7 %
Total Industrial Metals Risk 19.8%
% of Risk Allocation
Gold 14.7 %
Silver 5.0 %
Total Precious Metals Risk 19.7 %
% of Risk Allocation
Corn 5.2 %
Wheat 8.5 %
Soybeans 7.1 %
Soybean Meal 7.3 %
Soybean Oil 0.2 %
Total Grains Risk 28.3 %
% of Risk Allocation
Coffee 4.5 %
Sugar 4.3 %
Cocoa 0.5 %
Cotton 1.2 %
Total Softs Risk 10.4 %
% of Risk Allocation
Live Cattle 2.6 %
Lean Hog 1.2 %
Total Livestock Risk 3.8 %
Total Fund Risk Exposure 100 .0 %

Comments

  • To compare: PCRRX benchmark - Dow Jones-UBS Commodity Index:

    Dow Jones-UBS Commodity Index Total
    Return (%)
    Market Value Weighted
    Energy 30
    Natural Gas 10
    Crude Oil 8
    Crude Oil - Brent 5
    Unleaded Gas 3
    Heating Oil 3
    Livestock 6
    Live Cattle 4
    Lean Hogs 2

    Grains 22
    Wheat 6
    Corn 7
    Soybean 9

    Industrial Metals 19
    Aluminum 6
    Copper 7
    Zinc 3
    Nickel 2

    Precious Metals 13
    Gold 10
    Silver 3

    Softs 7
    Sugar 4
    Cotton 2
    Coffee 2
    Vegetable Oil 4
    Soybean Oil 4
  • I have been toying with buying a commodity fund for the longest time. Was thinking of buying PCRDX. I'm going to take a closer at ARCNX. It's really nice it is possible to buy at Scottrade for low amount.
  • This is a 3 month comparison, Right?
  • As a user of Vanguard Brokerage Service AQR Class N funds all carry a $1M minimum (though ARCNX is not currently offered). However PIMCO Institutional class funds carry a $25k minimum. As M* only show TDAmeritrade in their purchase page are there other brokerage options with lower minimums versus going to Advisors for AQR Funds ?
  • Reply to @STB65: Just a look at how it's done initially, but of greater interest, a look at how it's positioned versus a well-known benchmark index (DJ-UBS)
  • Scottrade. I bought $1000. I think you can go even lower.
  • edited September 2012
    ARCNX = no load / no fee at Schwab- $2500 minimum initial purchase, $500 additional purchases.

    Hold on- looked again- "institutional customers only".
  • edited September 2012
    Reply to @Old_Joe: AQR funds initially were $5K minimum and open to retail investors. Not that long (I forget the time period, but it had to be less than a year?) after the minimum was raised to $1M and the funds were then primarily geared towards advisors/institutional. The reason for the change was never stated, although maybe just not enough retail interest. The minimums today, however, vary all over the place.

    I just wouldn't go the ETF route for commodities, as many of the commodity ETFs generate a K-1 form at tax time, which probably comes as a surprise to many investors who are using them for short-term trades. All of the ETFs at the link below generate a K-1 (which I think should be indicated on brokerage pages for these products.)

    http://etfdb.com/2012/etf-tax-tutorial-complete-list-of-etfs-that-issue-a-k-1/
  • Reply to @scott: ETNs do not generate K-1. iPath Barclays have a lot of them. Ordinary income, close correlation to benchmark. Barclays credit risk of course -- just like any corporate bond would have.
  • edited September 2012
    Reply to @fundalarm: True. ETNs do not generate a k-1 as a number of commodities ETFs do, but as you noted, they raise other concerns (credit risk.)
  • beebee
    edited September 2012
    Anyone familiar with what role dividends play in each of these funds? Below is a link to PCRDX's dividend payouts over the last 7 years. PCRDX has a stated yield of almost 19%. I typically repurchase shares with these dividend payouts but, if I were a retiree; would these yields be sustainable? I notice they vary in amount almost every quarter. Anyone aware as to how they are calculated.

    Scott, does AQR pay a dividend and is that an important criteria to you?

    PCRDX Dividends
  • edited September 2012
    The Pimco fund (as well as a lot of the derivatives-based stock funds from Pimco) has had a history of enormous distributions at times, but they are not likely to be consistent. There was one last December (I believe) that was about 11%. Some discussion about the source of the distributions (some of which are certainly from the actively managed collateral) can be found here:
    http://www.bogleheads.org/forum/viewtopic.php?p=777331

    I do expect some distributions from the AQR fund are likely, but I don't expect the level of distributions as seen from the Pimco fund, which has generated far more in the way of distributions than any other fund in the category. I do place a fair amount of importance on dividends, but am not really concerned whether or not the AQR fund produces a significant yield (or really any yield.)

Sign In or Register to comment.