CTIVP - AQR Managed Futures Strategy Fund
Data updated: 2020-05-28
C000112077 — CTIVP - AQR Managed Futures Strategy Fund. Commodity · $263.99M AUM · 1.40% expense ratio. Holdings, fees, performance and SEC filings.
C000112077 Fund Overview
CTIVP - AQR Managed Futures Strategy Fund is a US mutual fund managed by Columbia Funds Variable Insurance Trust, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Columbia Funds Variable Insurance Trust
- Category: Commodity
- Assets under management: $263.99M
- SEC CIK: 0000815425
- SEC series ID: S000036674
- Share class ID: C000112077
C000112077 Investment Objective and Strategy
CTIVP - AQR Managed Futures Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Columbia Funds Variable Insurance Trust.
Investment objective
CTIVP SM – AQR Managed Futures Strategy Fund (the Fund) seeks positive absolute returns.
Principal investment strategy
Under normal circumstances, the Fund pursues its investment objective by allocating assets among four major asset classes (commodities, currencies, fixed income and equities). The Fund gains exposure to asset classes by investing in a portfolio of futures contracts, futures-related instruments, forwards and swaps, and may include, but will not be limited to, global developed and emerging market equity index futures, swaps on equity index futures, equity swaps, currency forwards and currency futures; commodity futures; swaps on commodity futures; interest rate futures; bond futures; swaps on bond futures; and exchange-traded notes, all of which the Fund may invest in directly or indirectly by investing in the Subsidiary (as described below) that invests in those instruments. The Funds universe of investments is subject to change under varying market conditions and as these instruments evolve over time.
The Fund may invest without limit in foreign instruments, including emerging market instruments. There are no geographic limits on the market exposure of the Funds assets and the Fund may concentrate its market exposure in one or more specific geographic regions. This flexibility allows the Fund to look for investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will enhance the Funds ability to meet its objective. The Funds return is expected to be derived principally from changes in the value of securities. The Fund may invest in securities and instruments, including derivatives, indirectly through an offshore, wholly-owned subsidiary organized under the laws of the Cayman Islands (the Subsidiary). The Subsidiary has substantially the same investment objective as the Fund and its investments are consistent with the Fund's investment restrictions.
Generally, the Subsidiary will invest in commodity futures and/or swaps, but may also invest in financial futures, option and swap contracts, fixed-income securities, pooled investment vehicles, including those that are not registered under the Investment Company Act of 1940, and other investments intended to serve as margin or collateral for certain of the Subsidiarys positions, including its derivatives positions. Unlike the Fund (which is subject to limitations under U.S. federal income tax laws), the Subsidiary may invest without limitation in commodity-linked derivatives; however, the Fund and its Subsidiary will comply on a consolidated basis with asset coverage or segregation requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. The Fund and its Subsidiary expect to hold a significant amount of cash, money market instruments (which may include investments in one or more affiliated or unaffiliated money market funds or similar vehicles), fixed-income securities and U.S.
Government obligations (including U.S. Treasury bills) or other high-quality, short-term investments, mortgage-backed securities or other liquid assets to meet its segregation obligations in connection with certain investments, including, among others, derivative instruments. The Funds investment strategy may involve the frequent trading of portfolio securities. Additionally, the Funds strategy of investing in derivative instruments and instruments with a maturity of one year or less at the time of acquisition, will also contribute to frequent portfolio trading and high portfolio turnover (typically greater than 300% per year). This may cause the Fund to incur higher transaction costs (which may adversely affect the Funds performance). Quantitative models are used as part of the investment process for the Fund.
C000112077 Holdings
Top 10 holdings of CTIVP - AQR Managed Futures Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| Columbia Funds/usa | 33.46% |
| Jpm Prime Mmf - Capital Shares | 13.17% |
| JPMorgan US Treasury Plus Money Market Fund | 13.16% |
| United States Treasury | 7.31% |
| United States Treasury | 5.36% |
| United States Treasury | 3.81% |
| United States Treasury | 2.84% |
| United States Treasury | 2.08% |
| United States Treasury | 1.42% |
| United States Treasury | 1.39% |
C000112077 Portfolio Allocation
Asset-class allocation of CTIVP - AQR Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Cash & Equivalents | 59.8% |
| Fixed Income | 29.7% |
C000112077 Costs and Fees
C000112077 costs about $140 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.40%
- Gross expense ratio: 1.40%
- Portfolio turnover: 0%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
C000112077 Cashflows
Over the 12 months to 2020-03, CTIVP - AQR Managed Futures Strategy Fund had net outflows of $2.74M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-03 | −$2.16M |
| 2020-02 | −$918.48K |
| 2020-01 | $1.05M |
| 2019-12 | $228.51K |
| 2019-11 | −$276.73K |
| 2019-10 | −$199.48K |
C000112077 Debt Constituents
Largest debt holdings of CTIVP - AQR Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| United States Treasury | 7.31% |
| United States Treasury | 5.36% |
| United States Treasury | 3.81% |
| United States Treasury | 2.84% |
| United States Treasury | 2.08% |
| United States Treasury | 1.42% |
| United States Treasury | 1.39% |
| United States Treasury | 1.29% |
| United States Treasury | 0.89% |
| United States Treasury | 0.83% |
C000112077 Prospectus and SEC Filings
Official CTIVP - AQR Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2019-05-16
- Prospectus (485BPOS) — filed 2018-05-17
- Prospectus (485BPOS) — filed 2017-05-18
- Portfolio holdings (N-PORT) — filed 2020-05-28
- Portfolio holdings (N-PORT) — filed 2020-02-25
- Portfolio holdings (N-PORT) — filed 2019-11-26
- Annual census (N-CEN) — filed 2020-03-12
- Annual census (N-CEN) — filed 2019-03-15
Related Funds
Other Commodity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.