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AQR Managed Futures Strategy Fund (AQMIX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US00203H8593

CUSIP

00203H859

Issuer

AQR Funds

Inception Date

Jan 5, 2010

Min. Investment

$5,000,000

Asset Class

Alternatives

Expense Ratio

AQMIX has a high expense ratio of 1.25%, indicating above-average management fees.


Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AQR Managed Futures Strategy Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%December2025FebruaryMarchAprilMay
43.88%
398.36%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Returns By Period

AQR Managed Futures Strategy Fund (AQMIX) returned 1.76% year-to-date (YTD) and -0.74% over the past 12 months. Over the past 10 years, AQMIX returned 1.97% annually, underperforming the S&P 500 benchmark at 10.43%.


AQMIX

YTD

1.76%

1M

1.16%

6M

5.66%

1Y

-0.74%

5Y*

7.65%

10Y*

1.97%

^GSPC (Benchmark)

YTD

-3.70%

1M

13.67%

6M

-5.18%

1Y

9.18%

5Y*

14.14%

10Y*

10.43%

*Annualized

Monthly Returns

The table below presents the monthly returns of AQMIX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.23%3.04%1.02%-1.01%-1.47%1.76%
2024-0.61%7.87%3.99%2.41%-2.03%-1.42%-5.32%-1.52%2.62%-3.13%2.51%3.47%8.40%
2023-2.76%4.25%-5.89%2.17%4.48%-0.11%-2.26%3.00%4.15%1.40%-3.93%-1.99%1.83%
20226.47%2.46%8.46%7.10%0.11%3.91%-3.66%5.10%5.57%-0.20%-5.48%1.92%35.47%
20210.13%2.80%0.12%0.25%1.11%-2.93%-3.02%-1.04%2.75%3.95%-5.39%0.63%-1.04%
2020-1.80%-0.24%5.40%-0.23%-0.47%-2.11%0.84%-1.55%-1.81%1.97%-3.50%3.43%-0.43%
2019-2.38%-0.24%3.42%2.24%-1.50%0.82%3.26%3.60%-4.35%-3.52%-0.82%1.80%1.92%
20183.90%-5.84%-1.00%-0.67%-2.59%0.69%-0.69%3.81%-0.33%-2.57%-3.67%0.12%-8.88%
20170.75%1.06%-2.74%-1.95%-0.55%-2.22%0.11%0.68%-0.79%3.07%1.43%0.33%-0.96%
20162.06%2.31%-3.86%-0.88%-2.76%5.58%0.38%-2.78%-0.20%-3.55%-4.40%-0.19%-8.43%
20154.80%-0.81%4.43%-3.21%-0.18%-5.11%2.17%1.48%2.46%-3.38%1.75%-3.85%-0.05%
2014-3.12%-1.17%-1.87%-0.40%0.30%1.01%-0.40%2.30%3.42%-1.04%7.64%-1.55%4.77%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AQMIX is 20, meaning it’s performing worse than 80% of other mutual funds on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of AQMIX is 2020
Overall Rank
The Sharpe Ratio Rank of AQMIX is 1717
Sharpe Ratio Rank
The Sortino Ratio Rank of AQMIX is 2020
Sortino Ratio Rank
The Omega Ratio Rank of AQMIX is 1919
Omega Ratio Rank
The Calmar Ratio Rank of AQMIX is 2323
Calmar Ratio Rank
The Martin Ratio Rank of AQMIX is 2222
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

AQR Managed Futures Strategy Fund Sharpe ratios as of May 9, 2025 (values are recalculated daily):

  • 1-Year: -0.07
  • 5-Year: 0.71
  • 10-Year: 0.19
  • All Time: 0.25

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of AQR Managed Futures Strategy Fund compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
-0.07
0.48
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR Managed Futures Strategy Fund provided a 3.76% dividend yield over the last twelve months, with an annual payout of $0.33 per share.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%$0.00$0.20$0.40$0.60$0.80$1.00$1.2020142015201620172018201920202021202220232024
Dividends
Dividend Yield
PeriodTTM20242023202220212020201920182017201620152014
Dividend$0.33$0.33$0.69$1.11$0.50$0.42$0.26$0.00$0.00$0.00$0.46$0.48

Dividend yield

3.76%3.83%8.41%12.76%6.94%5.31%3.13%0.00%0.00%0.02%4.49%4.50%

Monthly Dividends

The table displays the monthly dividend distributions for AQR Managed Futures Strategy Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025$0.00$0.00$0.00$0.00$0.00$0.00
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.33$0.33
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.69$0.69
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.11$1.11
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.50$0.50
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.42$0.42
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.26$0.26
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.46$0.46
2014$0.48$0.48

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-3.60%
-7.82%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the AQR Managed Futures Strategy Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the AQR Managed Futures Strategy Fund was 27.99%, occurring on Jan 18, 2019. Recovery took 856 trading sessions.

The current AQR Managed Futures Strategy Fund drawdown is 3.60%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.99%Apr 14, 2015950Jan 18, 2019856Jun 13, 20221806
-13.57%Apr 29, 202468Aug 5, 2024
-10.99%Nov 8, 2010507Nov 13, 2012100Apr 10, 2013607
-10.47%Oct 21, 2022112Apr 3, 2023118Sep 21, 2023230
-8.23%Jun 15, 202242Aug 15, 202225Sep 20, 202267

Volatility

Volatility Chart

The current AQR Managed Futures Strategy Fund volatility is 2.79%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
2.79%
11.21%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)