American Beacon AHL TargetRisk Core Fund
Data updated: 2023-08-09
C000223149 — American Beacon AHL TargetRisk Core Fund. Money Market · $9.04M AUM · 2.00% expense ratio. Holdings, fees, performance and SEC filings.
C000223149 Fund Overview
American Beacon AHL TargetRisk Core Fund is a US mutual fund managed by American Beacon Funds, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: American Beacon Funds
- Category: Money Market
- Assets under management: $9.04M
- 1-year return: 4.5%
- SEC CIK: 0000809593
- SEC series ID: S000070164
- Share class ID: C000223149
C000223149 Investment Objective and Strategy
American Beacon AHL TargetRisk Core Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by American Beacon Funds.
Investment objective
The Funds investment objective is capital growth.
Principal investment strategy
The Fund seeks to achieve its investment objective by allocating all or substantially all of its assets across equities and bonds primarily through derivative instruments. The Fund implements its strategy by utilizing a proprietary quantitative model, which is designed to provide a stable level of volatility regardless of market conditions. The Fund invests primarily in futures (including interest rate futures, equity index futures, bond index futures, non-U.S. currency futures, and government bond futures, such as treasury futures), but also may invest in other types of derivative instruments based on securities, indices, and currencies. These may include foreign currency forward contracts, including non-deliverable forwards (NDFs). The Fund uses derivative instruments to enhance total return, to manage certain investment risks or to substitute for the purchase or sale of the underlying securities, including forward contracts to hedge against currency exchange rates.
The Fund expects that, under normal market conditions, the notional value of its derivatives exposure generally will exceed that of its net assets. In connection with the Funds use of derivatives, the Fund also may hold significant amounts of U.S. Treasury securities and other foreign developed market sovereign short-term bonds issued by countries such as France, Germany, Japan and other developed countries, or high-quality short-term investments, including a government money market fund advised by the Manager, with respect to which the Manager also receives a management fee, cash and time deposits in order to meet collateral requirements and for cash management purposes. The Funds use of derivatives may have the economic effect of financial leverage. The Funds investments are generally made without restriction as to issuer market capitalization, country, currency, or maturity.
The Fund may invest in derivatives instruments that provide exposure to issuers in the U.S. and foreign developed and emerging markets and may invest directly in non-U.S. currencies and instruments denominated in non-U.S. currencies. The Fund may invest directly in government obligations. The Fund may also invest in U.S. government securities, and zero coupon securities. The sub-advisors strategy is designed to provide a return that exceeds that of the Funds benchmark index with a stable level of volatility regardless of market conditions. The Funds current benchmark is a composite index comprised 60% of the MSCI World Index and 40% of the Bloomberg Global-Aggregate Total Return Index, both hedged to U.S. Dollars. The sub-advisor seeks to do this by using systematic algorithms (a mathematical model) to scale positions based on the net asset value (NAV) of the Fund.
The algorithm measures the degree of volatility in a particular market. If the market is turbulent, and returns are volatile, the algorithm will reduce exposure. Conversely, it will increase exposure if the market is calm. This technique is called volatility scaling and can be applied at various levels to achieve a balanced risk exposure through time, and across different asset classes. Volatility scaling attempts to create a more stable return stream through time. The resulting portfolio aims to achieve a certain target level of volatility which is stable through time. The Fund has set an annualized volatility target of 10% of its NAV. Volatility is defined for this purpose as the annualized standard deviation of returns. It is important to note that both the short and long term realized volatility of the Fund can and will differ from the targeted volatility and can be dependent on prevailing market conditions.
In addition to the volatility scaling described above, the strategy utilizes additional systematic overlays to control downside risk. The first of these is a momentum overlay, which uses past price behavior to identify periods when a market is in a downtrend. The strategy uses this information to scale down positions depending upon the strength of that trend, thereby reducing risk in falling markets. The second is a volatility switching mechanism, which reacts quickly to spikes in volatility by using a formula that is designed to minimize market transactions during periods of low volatility and increase market transactions during periods of heightened market volatility in order to maintain the Funds target level of volatility. Volatility switching is used to react more dynamically to market events.
The third, a correlation overlay, uses intraday data to identify dangerous environments in which fixed income assets no longer act as a hedge to equities and other assets. The combination of these overlays aims to reduce losses and improve risk-adjusted returns. The Funds holdings may be frequently adjusted to reflect the sub-advisors assessment of changing risks, which could result in high portfolio turnover. The Fund is non-diversified, which means that it is not limited to a percentage of assets that it may invest in any one issuer.
C000223149 Performance
Total returns for C000223149 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 4.5% |
| 3 years (annualised) | -3.9% |
C000223149 Risk Information
Risk metrics for C000223149, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 13.2%
C000223149 Costs and Fees
C000223149 costs about $200 per $10,000 invested per year in fund expenses.
- Net expense ratio: 2.00%
- Gross expense ratio: 3.60%
- Brokerage commissions: 1.77 bps of average net assets (SEC N-CEN)
C000223149 Cashflows
Over the 12 months to 2023-06, American Beacon AHL TargetRisk Core Fund had net outflows of $387.21K, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2023-06 | $14.95K |
| 2023-05 | $0 |
| 2023-04 | $0 |
| 2023-03 | −$1.02M |
| 2023-02 | $2 |
| 2023-01 | −$377.05K |
C000223149 Debt Constituents
No individual debt constituents are reported in American Beacon AHL TargetRisk Core Fund's latest SEC N-PORT filing.
C000223149 Prospectus and SEC Filings
Official American Beacon AHL TargetRisk Core Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2023-04-27
- Prospectus (485BPOS) — filed 2022-04-29
- Prospectus (485BPOS) — filed 2021-04-29
- Portfolio holdings (N-PORT) — filed 2023-08-09
- Portfolio holdings (N-PORT) — filed 2023-05-26
- Portfolio holdings (N-PORT) — filed 2023-02-23
- Annual census (N-CEN) — filed 2023-03-14
- Annual census (N-CEN) — filed 2022-03-15
Related Funds
Other Money Market 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.