Nasdaq - Delayed Quote • USD
AQR Managed Futures Strategy Fund (AQMIX)
At close: 8:01 PM EDT
Fund Summary
The adviser allocates the fund's assets among four major asset classes (commodities, currencies, fixed income and equities). It gains exposure to asset classes by investing in several hundred futures contracts, futures-related instruments, forwards and swaps, including, but not limited to, commodity futures, forwards and swaps; currencies, currency futures and forwards; equity index futures, equity swaps and volatility futures; bond futures and swaps; interest rate futures and swaps and credit default index swaps. The fund is non-diversified.
Risk Overview
| Morningstar Risk Rating | |
| Best 1Y Total Return | 35.38% |
| Worst 1Y Total Return | -- |
| Number of Years Up | 7 |
| Number of Years Down | 6 |
Performance & Risk
| YTD Return | 13.81% |
| 5y Average Return | 9.18% |
| Rank in Category (ytd) | 20 |
| % Rank in Category (ytd) | -- |
| Beta (5Y Monthly) | -0.46 |
| Morningstar Risk Rating |
Risk Statistics
| 3 Years | 5 Years | 10 Years | ||||
|---|---|---|---|---|---|---|
| AQMIX | Category Average | AQMIX | Category Average | AQMIX | Category Average | |
| Alpha | 13.33 | 0.02 | 10.2 | -0.01 | 5.24 | -0 |
| BETA | -0.46 | 0 | -0.31 | 0 | -0.24 | 0 |
| Mean Annual Return | 1.16 | 0 | 0.77 | 0 | 0.4 | 0 |
| R-squared | 30.84 | 0.1 | 21.74 | 0.09 | 11.12 | 0.04 |
| Standard Deviation | 13.48 | 0.1 | 11.93 | 0.1 | 10.82 | 0.09 |
| Sharpe Ratio | 0.81 | 0 | 0.6 | 0 | 0.3 | 0 |
| Treynor Ratio | -23.87 | -0.04 | -21.51 | -1.01 | -11.38 | -0.27 |
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