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

Fund Info

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

Expense Ratio

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


Expense ratio chart for AQMIX: current value at 1.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.25%

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.


AQR Managed Futures Strategy Fund

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%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
10.39%
14.78%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

S&P 500

Returns By Period

AQR Managed Futures Strategy Fund had a return of 10.39% year-to-date (YTD) and 12.93% in the last 12 months. Over the past 10 years, AQR Managed Futures Strategy Fund had an annualized return of 4.10%, while the S&P 500 had an annualized return of 10.85%, indicating that AQR Managed Futures Strategy Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date10.39%15.04%
1 month-0.11%3.47%
6 months10.26%15.07%
1 year12.93%24.43%
5 years (annualized)8.15%13.22%
10 years (annualized)4.10%10.85%

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
2024-0.61%7.87%3.99%2.41%-1.71%10.39%
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%35.48%
20210.13%2.80%0.12%0.25%1.11%-2.93%-3.02%-1.04%2.75%3.95%-5.39%0.62%-1.04%
2020-1.81%-0.24%5.40%-0.23%-0.47%-2.11%0.84%-1.55%-1.81%1.97%-3.50%3.42%-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%1.81%1.93%
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%-0.97%
20162.06%2.31%-3.86%-0.88%-2.76%5.58%0.38%-2.78%-0.20%-3.55%-4.40%-0.20%-8.43%
20154.80%-0.81%4.43%-3.21%-0.18%-5.11%2.17%1.48%2.46%-3.38%1.75%-1.92%1.96%
2014-3.12%-1.17%-1.87%-0.40%0.30%1.01%-0.40%2.30%3.42%-1.04%7.64%3.07%9.69%
20133.27%-1.19%0.90%4.17%-2.10%-1.56%0.59%-0.49%-1.58%1.00%3.58%2.68%9.40%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AQMIX is 59, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of AQMIX is 5959
AQMIX (AQR Managed Futures Strategy Fund)
The Sharpe Ratio Rank of AQMIX is 5454Sharpe Ratio Rank
The Sortino Ratio Rank of AQMIX is 4949Sortino Ratio Rank
The Omega Ratio Rank of AQMIX is 5151Omega Ratio Rank
The Calmar Ratio Rank of AQMIX is 8686Calmar Ratio Rank
The Martin Ratio Rank of AQMIX is 5757Martin 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.


AQMIX
Sharpe ratio
The chart of Sharpe ratio for AQMIX, currently valued at 1.31, compared to the broader market-1.000.001.002.003.004.001.31
Sortino ratio
The chart of Sortino ratio for AQMIX, currently valued at 1.81, compared to the broader market0.005.0010.001.81
Omega ratio
The chart of Omega ratio for AQMIX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for AQMIX, currently valued at 1.76, compared to the broader market0.005.0010.0015.001.76
Martin ratio
The chart of Martin ratio for AQMIX, currently valued at 4.15, compared to the broader market0.0020.0040.0060.0080.004.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market-1.000.001.002.003.004.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market0.005.0010.003.07
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.73, compared to the broader market0.005.0010.0015.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0020.0040.0060.0080.008.12

Sharpe Ratio

The current AQR Managed Futures Strategy Fund Sharpe ratio is 1.31. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of AQR Managed Futures Strategy Fund with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
1.31
2.10
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR Managed Futures Strategy Fund granted a 7.62% dividend yield in the last twelve months. The annual payout for that period amounted to $0.69 per share.


PeriodTTM20232022202120202019201820172016201520142013
Dividend$0.69$0.69$1.11$0.50$0.42$0.26$0.00$0.00$0.00$0.66$0.97$0.11

Dividend yield

7.62%8.41%12.76%6.94%5.31%3.13%0.00%0.00%0.02%6.51%9.10%1.01%

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
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00
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$0.66$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$0.97
2013$0.11$0.11

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-3.53%
0
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 26.55%, occurring on Jan 18, 2019. Recovery took 853 trading sessions.

The current AQR Managed Futures Strategy Fund drawdown is 3.53%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.55%Apr 14, 2015950Jan 18, 2019853Jun 8, 20221803
-10.46%Oct 21, 2022112Apr 3, 2023118Sep 21, 2023230
-10.31%May 3, 2011386Nov 13, 201298Apr 8, 2013484
-8.23%Jun 15, 202242Aug 15, 202225Sep 20, 202267
-7.92%Jan 23, 201457Apr 14, 2014142Nov 4, 2014199

Volatility

Volatility Chart

The current AQR Managed Futures Strategy Fund volatility is 3.06%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
3.06%
2.33%
AQMIX (AQR Managed Futures Strategy Fund)
Benchmark (^GSPC)