AQMIX Performance — AQR Managed Futures Strategy Fund, Class I
Data updated: 2026-08-27
AQMIX returned +9.20% year to date and +21.33% over one year to Jun 2026. Annualised returns are +10.74% over 3 years and +12.78% over 5 years. The fund trailed its Commodities category average: $100 invested three years ago grew to $136, against $165 for the category, and to $121 over one year, against $130. Volatility over the past three years was 9.62% a year. In the 12 months to Jun 2026 the fund took in a net $888.9M, and assets reached $3.20B.
AQMIX Growth of $100
What $100 invested in AQR Managed Futures Strategy Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Commodities category average over the same months.
| Period | AQMIX | Category average |
|---|---|---|
| 1 year (Jul 2025 – Jun 2026) | $121 | $130 |
| 3 years (Jul 2023 – Jun 2026) | $136 | $165 |
| 5 years (Jul 2021 – Jun 2026) | $182 | $171 |
| Since data start (Jul 2019 – Jun 2026) | $184 | $213 |
AQMIX Trailing Returns
Total returns to Jun 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +9.20% |
| 1 year | +21.33% |
| 3 years (annualised) | +10.74% |
| 5 years (annualised) | +12.78% |
AQMIX Annual Returns
Calendar-year total returns of AQR Managed Futures Strategy Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–Jun) | +9.20% |
| 2025 | +14.63% |
| 2024 | +8.41% |
| 2023 | +1.80% |
| 2022 | +35.38% |
| 2021 | −1.06% |
| 2020 | −0.41% |
| 2019 (Jul–Dec) | −0.33% |
AQMIX Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +4.6% | +3.5% | +1.4% | +1.1% | 0.0% | −1.6% | — | — | — | — | — | — |
| 2025 | +0.2% | +3.0% | +1.0% | −1.0% | −0.5% | +0.3% | +0.7% | +1.4% | +5.6% | +1.4% | −0.2% | +2.0% |
| 2024 | −0.6% | +7.9% | +4.0% | +2.4% | −2.0% | −1.4% | −5.3% | −1.5% | +2.6% | −3.1% | +2.5% | +3.5% |
| 2023 | −2.8% | +4.3% | −5.9% | +2.2% | +4.5% | −0.1% | −2.3% | +3.0% | +4.1% | +1.4% | −3.9% | −2.0% |
| 2022 | +6.5% | +2.5% | +8.5% | +7.1% | +0.1% | +3.9% | −3.7% | +5.1% | +5.6% | −0.2% | −5.5% | +1.9% |
| 2021 | +0.1% | +2.8% | +0.1% | +0.2% | +1.1% | −2.9% | −3.0% | −1.0% | +2.7% | +3.9% | −5.4% | +0.6% |
| 2020 | −1.8% | −0.2% | +5.4% | −0.2% | −0.5% | −2.1% | +0.8% | −1.5% | −1.8% | +2.0% | −3.5% | +3.4% |
| 2019 | — | — | — | — | — | — | +3.3% | +4.3% | −5.0% | −3.5% | −0.8% | +1.8% |
AQMIX Risk
Risk measures from monthly returns over Jul 2023 – Jun 2026.
- 3-year volatility (annualised): 9.62%
- 3-year Sharpe ratio: 0.65 (vs 4.5% risk-free rate)
- Best month: +7.87% (Feb 2024)
- Worst month: −5.32% (Jul 2024)
AQMIX Fund Flows
Monthly money in and out of AQR Managed Futures Strategy Fund, from SEC Form N-PORT.
- 12-month net flow: $888.9M
- 12-month gross sales (incl. reinvestments): $1.8B
- Sales ÷ redemptions: 1.96×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Jun 2026 | $133.0M | $89.1M | $43.9M |
| May 2026 | $133.4M | $63.5M | $69.9M |
| Apr 2026 | $214.1M | $100.0M | $114.2M |
| Mar 2026 | $221.4M | $78.2M | $143.2M |
| Feb 2026 | $129.2M | $55.4M | $73.8M |
| Jan 2026 | $281.6M | $162.3M | $119.2M |
| Dec 2025 | $169.4M | $65.7M | $103.7M |
| Nov 2025 | $81.0M | $57.9M | $23.1M |
| Oct 2025 | $81.4M | $115.1M | −$33.7M |
| Sep 2025 | $79.5M | $40.4M | $39.1M |
| Aug 2025 | $76.6M | $45.0M | $31.5M |
| Jul 2025 | $216.6M | $55.7M | $160.9M |
AQMIX Assets Under Management
Net assets of AQR Managed Futures Strategy Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-06-30 | $3.20B |
| 2026-03-31 | $2.99B |
| 2025-12-31 | $2.42B |
| 2025-09-30 | $2.30B |
| 2025-06-30 | $1.91B |
| 2025-03-31 | $1.71B |
| 2024-12-31 | $1.55B |
| 2024-09-30 | $1.48B |
| 2024-06-30 | $1.57B |
| 2024-03-31 | $1.50B |
| 2023-12-31 | $1.36B |
| 2023-09-30 | $1.51B |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.