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AQR Managed Futures Strategy Fund (AQMIX)

Mutual Fund · Currency in USD · Last updated Jun 3, 2023

The fund allocates its assets among four major asset classes (commodities, currencies, fixed income and equities). It gains exposure to asset classes by investing in more than 100 futures contracts, futures-related instruments, forwards and swaps, including, but not limited to, commodity futures, forwards and swaps; currencies and currency futures and forwards; equity index futures and equity swaps; bond futures and swaps; and interest rate futures and swaps.

Fund Info

ISINUS00203H8593
CUSIP00203H859
IssuerAQR Funds
Inception DateJan 5, 2010
CategorySystematic Trend
Minimum Investment$5,000,000
Asset ClassAlternatives

Expense Ratio

The AQR Managed Futures Strategy Fund has a high expense ratio of 1.25%, indicating higher-than-average management fees.


1.25%
0.00%2.15%

Share Price Chart


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Performance

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.


-5.00%0.00%5.00%10.00%15.00%2023FebruaryMarchAprilMayJune
3.12%
7.09%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

Search for stocks, ETFs, and funds to compare with AQMIX

AQR Managed Futures Strategy Fund

Return

AQR Managed Futures Strategy Fund had a return of 0.34% year-to-date (YTD) and 5.89% in the last 12 months. Over the past 10 years, AQR Managed Futures Strategy Fund had an annualized return of 2.83%, while the S&P 500 had an annualized return of 10.14%, indicating that AQR Managed Futures Strategy Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
1 month1.86%4.68%
Year-To-Date0.34%11.53%
6 months4.11%5.17%
1 year5.89%2.53%
5 years (annualized)5.69%9.39%
10 years (annualized)2.83%10.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-2.76%4.25%-5.89%2.17%4.48%
2022-5.48%1.92%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AQMIX
AQR Managed Futures Strategy Fund
0.26
^GSPC
S&P 500
0.21

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current AQR Managed Futures Strategy Fund Sharpe ratio is 0.26. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-1.000.001.002.003.002023FebruaryMarchAprilMayJune
0.26
0.21
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Dividend History

AQR Managed Futures Strategy Fund granted a 12.71% dividend yield in the last twelve months. The annual payout for that period amounted to $1.11 per share.


PeriodTTM20222021202020192018201720162015201420132012
Dividend$1.11$1.11$0.50$0.42$0.26$0.00$0.00$0.00$0.66$0.97$0.11$0.07

Dividend yield

12.71%12.76%7.83%6.41%3.99%0.00%0.00%0.02%8.56%12.73%1.55%1.18%

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.


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00$0.00$0.00$0.00
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
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
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
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
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
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
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
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.66
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.97
2013$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.11
2012$0.07

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%2023FebruaryMarchAprilMayJune
-9.99%
-10.72%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the AQR Managed Futures Strategy Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the AQR Managed Futures Strategy Fund is 26.54%, recorded on Jan 18, 2019. It took 853 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.54%Apr 14, 2015950Jan 18, 2019853Jun 8, 20221803
-14.83%Dec 19, 202272Apr 3, 2023
-10.31%May 3, 2011386Nov 13, 201298Apr 8, 2013484
-9.11%Oct 21, 202230Dec 2, 20229Dec 15, 202239
-8.23%Jun 15, 202242Aug 15, 202225Sep 20, 202267

Volatility Chart

The current AQR Managed Futures Strategy Fund volatility is 3.09%, 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.


0.00%5.00%10.00%15.00%20.00%2023FebruaryMarchAprilMayJune
3.09%
3.77%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)