AQMNX Performance — AQR Managed Futures Strategy Fund, Class N
Data updated: 2026-08-27
AQMNX returned +8.97% year to date and +20.93% over one year to Jun 2026. Annualised returns are +10.46% over 3 years and +12.53% over 5 years. The fund trailed its Commodities category average: $100 invested three years ago grew to $135, 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.
AQMNX 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 | AQMNX | Category average |
|---|---|---|
| 1 year (Jul 2025 – Jun 2026) | $121 | $130 |
| 3 years (Jul 2023 – Jun 2026) | $135 | $165 |
| 5 years (Jul 2021 – Jun 2026) | $180 | $171 |
| Since data start (Jul 2019 – Jun 2026) | $180 | $213 |
AQMNX Trailing Returns
Total returns to Jun 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +8.97% |
| 1 year | +20.93% |
| 3 years (annualised) | +10.46% |
| 5 years (annualised) | +12.53% |
AQMNX 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) | +8.97% |
| 2025 | +14.39% |
| 2024 | +8.10% |
| 2023 | +1.64% |
| 2022 | +35.04% |
| 2021 | −1.31% |
| 2020 | −0.60% |
| 2019 (Jul–Dec) | −0.60% |
AQMNX 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 | +4.5% | +3.4% | +1.3% | +1.2% | 0.0% | −1.6% | — | — | — | — | — | — |
| 2025 | +0.1% | +3.1% | +0.9% | −0.9% | −0.5% | +0.3% | +0.6% | +1.4% | +5.5% | +1.4% | −0.3% | +2.1% |
| 2024 | −0.7% | +7.8% | +4.0% | +2.3% | −1.9% | −1.5% | −5.4% | −1.4% | +2.5% | −3.2% | +2.5% | +3.5% |
| 2023 | −2.8% | +4.3% | −5.9% | +2.2% | +4.4% | −0.1% | −2.3% | +2.9% | +4.2% | +1.4% | −4.0% | −2.0% |
| 2022 | +6.5% | +2.3% | +8.5% | +6.9% | +0.2% | +3.9% | −3.8% | +5.1% | +5.5% | −0.2% | −5.5% | +1.8% |
| 2021 | +0.1% | +2.7% | +0.1% | +0.2% | +1.1% | −3.1% | −2.9% | −1.2% | +2.8% | +4.0% | −5.3% | +0.5% |
| 2020 | −1.7% | −0.2% | +5.4% | −0.2% | −0.6% | −2.0% | +0.7% | −1.6% | −1.7% | +1.9% | −3.6% | +3.5% |
| 2019 | — | — | — | — | — | — | +3.2% | +4.2% | −5.1% | −3.5% | −0.8% | +1.7% |
AQMNX Risk
Risk measures from monthly returns over Jul 2023 – Jun 2026.
- 3-year volatility (annualised): 9.62%
- 3-year Sharpe ratio: 0.62 (vs 4.5% risk-free rate)
- Best month: +7.83% (Feb 2024)
- Worst month: −5.38% (Jul 2024)
AQMNX 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 |
AQMNX 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.