AQR Managed Futures Strategy Fund (AQMIX)
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
| ISIN | US00203H8593 |
|---|---|
| CUSIP | 00203H859 |
| Issuer | AQR Funds |
| Inception Date | Jan 5, 2010 |
| Category | Systematic Trend |
| Minimum Investment | $5,000,000 |
| Asset Class | Alternatives |
Expense Ratio
The AQR Managed Futures Strategy Fund has a high expense ratio of 1.25%, indicating higher-than-average management fees.
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.
Compare to other instruments
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.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | 1.86% | 4.68% |
| Year-To-Date | 0.34% | 11.53% |
| 6 months | 4.11% | 5.17% |
| 1 year | 5.89% | 2.53% |
| 5 years (annualized) | 5.69% | 9.39% |
| 10 years (annualized) | 2.83% | 10.14% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 0.26 | ||||
^GSPC S&P 500 | 0.21 |
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.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
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, 2015 | 950 | Jan 18, 2019 | 853 | Jun 8, 2022 | 1803 |
| -14.83% | Dec 19, 2022 | 72 | Apr 3, 2023 | — | — | — |
| -10.31% | May 3, 2011 | 386 | Nov 13, 2012 | 98 | Apr 8, 2013 | 484 |
| -9.11% | Oct 21, 2022 | 30 | Dec 2, 2022 | 9 | Dec 15, 2022 | 39 |
| -8.23% | Jun 15, 2022 | 42 | Aug 15, 2022 | 25 | Sep 20, 2022 | 67 |
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.