AQR Managed Futures Strategy Fund (AQMIX)

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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.

AQR Managed Futures Strategy Fund (AQMIX) has returned 10.24% so far this year and 21.11% over the past 12 months. Over the last ten years, AQMIX has returned 4.48% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.

Based on dividend-adjusted daily data since Jan 5, 2010, AQMIX's average daily return is +0.02%, while the average monthly return is +0.37%. At this rate, your investment would double in approximately 15.6 years.

Historically, 53% of months were positive and 47% were negative. The best month was Mar 2022 with a return of +8.5%, while the worst month was Mar 2023 at -5.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.

On a daily basis, AQMIX closed higher 48% of trading days. The best single day was Dec 23, 2021 with a return of +7.0%, while the worst single day was Dec 27, 2021 at -6.0%.

AQR Managed Futures Strategy Fund has an annualized alpha of 4.75%, beta of -0.01, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since January 06, 2010.

• This fund captured 4.34% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -22.44%) — a profile typical of hedging or uncorrelated assets.
• Beta of -0.01 may look defensive, but with R² of 0.00 this fund is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
• R² of 0.00 means this fund moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

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

AQMIX ranks 94 for risk / return — in the top 94% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The table below present risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and compare them to a chosen benchmark (S&P 500 Index).

AQR Managed Futures Strategy Fund provided a 2.05% dividend yield over the last twelve months, with an annual payout of $0.22 per share.

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.

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.

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 26.52%, occurring on Jan 18, 2019. Recovery took 853 trading sessions.

The current AQR Managed Futures Strategy Fund drawdown is 0.47%.

The chart below shows the rolling one-month volatility.