AQR Managed Futures Strategy HV Fund (QMHIX)

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AQR Managed Futures Strategy HV Fund (QMHIX) is up 14.0% since the beginning of the year. QMHIX is currently trading at $11 per share. Investors who bought $1,000 worth of QMHIX shares 5 years ago would now be looking at an investment worth $2,230.

AQR Managed Futures Strategy HV Fund (QMHIX) has returned 14.01% so far this year and 32.82% over the past 12 months. Over the last ten years, QMHIX has returned 5.27% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.

Based on dividend-adjusted daily data since Jan 2, 2014, QMHIX's average daily return is +0.03%, while the average monthly return is +0.54%. At this rate, an investment would double in approximately 10.7 years.

Historically, 52% of months were positive and 48% were negative. The best month was Mar 2022 with a return of +12.8%, while the worst month was Mar 2023 at -8.9%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 5 months.

On a daily basis, QMHIX closed higher 50% of trading days. The best single day was Dec 23, 2021 with a return of +11.1%, while the worst single day was Dec 27, 2021 at -9.1%.

AQR Managed Futures Strategy HV Fund has an annualized alpha of 7.70%, beta of -0.07, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since January 02, 2014.

• This fund tended to rise when S&P 500 Index fell (downside capture of -54.17%), but participation in market rallies was also limited (-1.78%) - a profile typical of counter-cyclical assets.
• Beta of -0.07 may look defensive, but with R2 of 0.01 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 0.01 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.

QMHIX has a high expense ratio of 1.65%, indicating above-average management fees.

QMHIX ranks 83 for risk / return — in the top 83% 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.

AQR Managed Futures Strategy HV Fund provided a 1.80% dividend yield over the last twelve months, with an annual payout of $0.20 per share.

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.

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 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 39.37%, occurring on Nov 10, 2020. Recovery took 400 trading sessions.

The current AQR Managed Futures Strategy HV Fund drawdown is 4.26%.

The chart below shows the rolling one-month volatility.