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

Fund Info

ISIN

US00203H4618

CUSIP

00203H461

Issuer

AQR Funds

Inception Date

Jul 15, 2013

Min. Investment

$5,000,000

Asset Class

Alternatives

Expense Ratio

QMHIX has a high expense ratio of 1.65%, 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.


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QMHIX vs. DBMF QMHIX vs. KMLM
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Performance

Performance Chart


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Returns By Period

AQR Managed Futures Strategy HV Fund (QMHIX) returned 3.10% year-to-date (YTD) and -1.67% over the past 12 months. Over the past 10 years, QMHIX returned 1.64% annually, underperforming the S&P 500 benchmark at 10.46%.


QMHIX

YTD

3.10%

1M

2.37%

6M

8.60%

1Y

-1.67%

5Y*

9.63%

10Y*

1.64%

^GSPC (Benchmark)

YTD

-3.77%

1M

7.44%

6M

-5.60%

1Y

8.37%

5Y*

14.12%

10Y*

10.46%

*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.48%4.87%2.27%-2.21%-2.15%3.10%
2024-0.78%12.03%5.37%3.10%-2.69%-2.43%-7.47%-2.45%3.38%-4.24%3.42%4.95%11.21%
2023-4.31%6.01%-8.86%2.98%6.54%-0.47%-3.68%4.19%6.03%2.01%-6.01%-3.45%-0.56%
20229.19%3.76%12.75%10.67%-0.12%5.70%-6.05%6.44%8.14%-0.61%-8.60%2.39%50.14%
20210.29%4.19%0.00%0.41%1.79%-4.61%-4.40%-1.78%4.23%5.66%-7.97%0.99%-2.07%
2020-2.62%-0.40%7.96%-0.25%-0.88%-3.03%1.17%-2.32%-2.77%3.39%-5.25%5.05%-0.73%
2019-3.45%-0.40%4.92%3.30%-2.21%1.13%4.71%5.57%-6.62%-5.41%-1.40%2.61%1.82%
20185.36%-8.62%-1.59%-1.04%-4.09%1.10%-1.08%5.48%-0.46%-4.17%-5.44%-0.00%-14.44%
20171.18%1.70%-4.08%-2.94%-0.90%-3.40%0.23%0.82%-1.04%4.45%2.13%0.44%-1.72%
20162.90%3.27%-5.72%-1.77%-4.08%8.42%0.46%-4.00%-0.47%-5.23%-6.53%-0.10%-13.08%
20157.21%-1.08%6.55%-4.89%-0.25%-7.47%3.14%2.09%3.67%-4.93%2.42%-5.48%-0.34%
2014-4.82%-1.75%-2.97%-0.31%0.51%1.53%-0.40%3.22%5.27%-1.67%11.59%2.16%11.99%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of QMHIX is 21, meaning it’s performing worse than 79% 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 QMHIX is 2121
Overall Rank
The Sharpe Ratio Rank of QMHIX is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of QMHIX is 2121
Sortino Ratio Rank
The Omega Ratio Rank of QMHIX is 2020
Omega Ratio Rank
The Calmar Ratio Rank of QMHIX is 2121
Calmar Ratio Rank
The Martin Ratio Rank of QMHIX 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 HV Fund (QMHIX) 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 HV Fund Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: -0.07
  • 5-Year: 0.59
  • 10-Year: 0.11
  • All Time: 0.23

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 HV 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.


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Dividends

Dividend History

AQR Managed Futures Strategy HV Fund provided a 2.24% dividend yield over the last twelve months, with an annual payout of $0.19 per share.


0.00%2.00%4.00%6.00%8.00%10.00%$0.00$0.20$0.40$0.60$0.80$1.00$1.2020142015201620172018201920202021202220232024
Dividends
Dividend Yield
PeriodTTM20242023202220212020201920182017201620152014
Dividend$0.19$0.19$0.59$0.78$0.67$0.66$0.32$0.00$0.00$0.00$0.81$1.12

Dividend yield

2.24%2.31%7.70%9.34%10.96%9.52%4.18%0.00%0.00%0.01%7.57%10.00%

Monthly Dividends

The table displays the monthly dividend distributions for AQR Managed Futures Strategy HV 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$0.19$0.19
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.59$0.59
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.78$0.78
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.67$0.67
2020$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
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.32$0.32
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$0.81$0.81
2014$1.12$1.12

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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the AQR Managed Futures Strategy HV 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 HV Fund was 41.04%, occurring on Nov 10, 2020. Recovery took 471 trading sessions.

The current AQR Managed Futures Strategy HV Fund drawdown is 5.35%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.04%Apr 14, 20151407Nov 10, 2020471Sep 26, 20221878
-19.06%Apr 29, 202468Aug 5, 2024
-17.06%Oct 21, 2022113Apr 4, 2023223Feb 23, 2024336
-11.64%Jan 23, 201456Apr 11, 2014143Nov 4, 2014199
-7.04%Aug 23, 201333Oct 9, 201335Nov 27, 201368

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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